#include <orea/scenario/scenariosimmarketparameters.hpp>

Inheritance diagram for ScenarioSimMarketParameters:

Collaboration diagram for ScenarioSimMarketParameters:

Public Member Functions
	ScenarioSimMarketParameters ()
	Default constructor. More...

Inspectors
const string &	baseCcy () const

const vector< string > &	ccys () const

vector< string >	paramsLookup (RiskFactorKey::KeyType k) const

bool	hasParamsName (RiskFactorKey::KeyType kt, string name) const

void	addParamsName (RiskFactorKey::KeyType kt, vector< string > names)

bool	paramsSimulate (RiskFactorKey::KeyType kt) const

void	setParamsSimulate (RiskFactorKey::KeyType kt, bool simulate)

vector< string >	discountCurveNames () const

vector< string >	yieldCurveNames () const

const map< string, string > &	yieldCurveCurrencies () const

const vector< Period > &	yieldCurveTenors (const string &key) const

bool	hasYieldCurveTenors (const string &key) const

vector< string >	indices () const

const map< string, string > &	swapIndices () const

const string &	interpolation () const

const string &	extrapolation () const

const map< string, vector< Period > > &	yieldCurveTenors () const

bool	simulateFxSpots () const

vector< string >	fxCcyPairs () const

bool	simulateSwapVols () const

bool	swapVolIsCube (const string &key) const

bool	simulateSwapVolATMOnly () const

const vector< Period > &	swapVolTerms (const string &key) const

const vector< Period > &	swapVolExpiries (const string &key) const

vector< string >	swapVolKeys () const

const string &	swapVolDecayMode () const

const vector< Real > &	swapVolStrikeSpreads (const string &key) const

const string &	swapVolSmileDynamics (const string &key) const

bool	simulateYieldVols () const

const vector< Period > &	yieldVolTerms () const

const vector< Period > &	yieldVolExpiries () const

vector< string >	yieldVolNames () const

const string &	yieldVolDecayMode () const

const string &	yieldVolSmileDynamics (const string &key) const

bool	simulateCapFloorVols () const

vector< string >	capFloorVolKeys () const

const vector< Period > &	capFloorVolExpiries (const string &key) const

bool	hasCapFloorVolExpiries (const string &key) const

const vector< QuantLib::Rate > &	capFloorVolStrikes (const std::string &key) const

bool	capFloorVolIsAtm (const std::string &key) const

const string &	capFloorVolDecayMode () const

bool	capFloorVolAdjustOptionletPillars () const

bool	capFloorVolUseCapAtm () const

const string &	capFloorVolSmileDynamics (const string &key) const

bool	simulateYoYInflationCapFloorVols () const

vector< string >	yoyInflationCapFloorVolNames () const

const vector< Period > &	yoyInflationCapFloorVolExpiries (const string &key) const

bool	hasYoYInflationCapFloorVolExpiries (const string &key) const

const vector< Real > &	yoyInflationCapFloorVolStrikes (const std::string &key) const

const string &	yoyInflationCapFloorVolDecayMode () const

const string &	yoyInflationCapFloorVolSmileDynamics (const string &key) const

bool	simulateZeroInflationCapFloorVols () const

vector< string >	zeroInflationCapFloorVolNames () const

const vector< Period > &	zeroInflationCapFloorVolExpiries (const string &key) const

bool	hasZeroInflationCapFloorVolExpiries (const string &key) const

const vector< Real > &	zeroInflationCapFloorVolStrikes (const string &key) const

const string &	zeroInflationCapFloorVolDecayMode () const

const string &	zeroInflationCapFloorVolSmileDynamics (const string &key) const

bool	simulateSurvivalProbabilities () const

bool	simulateRecoveryRates () const

vector< string >	defaultNames () const

const string &	defaultCurveCalendar (const string &key) const

const vector< Period > &	defaultTenors (const string &key) const

bool	hasDefaultTenors (const string &key) const

const string &	defaultCurveExtrapolation () const

bool	simulateCdsVols () const

bool	simulateCdsVolATMOnly () const

const vector< Period > &	cdsVolExpiries () const

vector< string >	cdsVolNames () const

const string &	cdsVolDecayMode () const

const string &	cdsVolSmileDynamics (const string &key) const

vector< string >	equityNames () const

const vector< Period > &	equityDividendTenors (const string &key) const

bool	hasEquityDividendTenors (const string &key) const

vector< string >	equityDividendYields () const

bool	simulateDividendYield () const

bool	simulateFXVols () const

bool	simulateFxVolATMOnly () const

bool	fxVolIsSurface (const std::string &ccypair) const

bool	fxUseMoneyness (const std::string &ccypair) const

const vector< Period > &	fxVolExpiries (const string &key) const

const string &	fxVolDecayMode () const

vector< string >	fxVolCcyPairs () const

const vector< Real > &	fxVolMoneyness (const string &ccypair) const

const vector< Real > &	fxVolStdDevs (const string &ccypair) const

const string &	fxVolSmileDynamics (const string &key) const

bool	simulateEquityVols () const

bool	simulateEquityVolATMOnly () const

bool	equityUseMoneyness (const string &key) const

bool	equityVolIsSurface (const string &key) const

const vector< Period > &	equityVolExpiries (const string &key) const

const string &	equityVolDecayMode () const

vector< string >	equityVolNames () const

const vector< Real > &	equityVolMoneyness (const string &key) const

const vector< Real > &	equityVolStandardDevs (const string &key) const

const string &	equityVolSmileDynamics (const string &key) const

const vector< string > &	additionalScenarioDataIndices () const

const vector< string > &	additionalScenarioDataCcys () const

const Size	additionalScenarioDataNumberOfCreditStates () const

const vector< string > &	additionalScenarioDataSurvivalWeights () const

bool	securitySpreadsSimulate () const

vector< string >	securities () const

bool	simulateBaseCorrelations () const

const vector< Period > &	baseCorrelationTerms () const

const vector< Real > &	baseCorrelationDetachmentPoints () const

vector< string >	baseCorrelationNames () const

vector< string >	cpiIndices () const

vector< string >	zeroInflationIndices () const

const vector< Period > &	zeroInflationTenors (const string &key) const

bool	hasZeroInflationTenors (const string &key) const

vector< string >	yoyInflationIndices () const

const vector< Period > &	yoyInflationTenors (const string &key) const

bool	hasYoyInflationTenors (const string &key) const

bool	commodityCurveSimulate () const

std::vector< std::string >	commodityNames () const

const std::vector< QuantLib::Period > &	commodityCurveTenors (const std::string &commodityName) const

bool	hasCommodityCurveTenors (const std::string &commodityName) const

bool	commodityVolSimulate () const

const std::string &	commodityVolDecayMode () const

std::vector< std::string >	commodityVolNames () const

const std::vector< QuantLib::Period > &	commodityVolExpiries (const std::string &commodityName) const

const std::vector< QuantLib::Real > &	commodityVolMoneyness (const std::string &commodityName) const

const string &	commodityVolSmileDynamics (const string &commodityName) const

bool	simulateCorrelations () const

bool	correlationIsSurface () const

const vector< Period > &	correlationExpiries () const

vector< std::string >	correlationPairs () const

const vector< Real > &	correlationStrikes () const

Size	numberOfCreditStates () const

const std::map< RiskFactorKey::KeyType, std::pair< bool, std::set< std::string > > > &	parameters () const

Setters
string &	baseCcy ()

vector< string > &	ccys ()

void	setDiscountCurveNames (vector< string > names)

void	setYieldCurveNames (vector< string > names)

map< string, string > &	yieldCurveCurrencies ()

void	setYieldCurveTenors (const string &key, const vector< Period > &p)

void	setIndices (vector< string > names)

map< string, string > &	swapIndices ()

string &	interpolation ()

string &	extrapolation ()

void	setSimulateFxSpots (bool simulate)

void	setFxCcyPairs (vector< string > names)

void	setSimulateSwapVols (bool simulate)

void	setSwapVolIsCube (const string &key, bool isCube)

bool &	simulateSwapVolATMOnly ()

void	setSwapVolTerms (const string &key, const vector< Period > &p)

void	setSwapVolKeys (vector< string > names)

void	setSwapVolExpiries (const string &key, const vector< Period > &p)

void	setSwapVolStrikeSpreads (const std::string &key, const std::vector< QuantLib::Rate > &strikes)

string &	swapVolDecayMode ()

void	setSwapVolSmileDynamics (const string &key, const string &smileDynamics)

void	setSimulateYieldVols (bool simulate)

vector< Period > &	yieldVolTerms ()

void	setYieldVolNames (vector< string > names)

vector< Period > &	yieldVolExpiries ()

string &	yieldVolDecayMode ()

void	setYieldVolSmileDynamics (const string &key, const string &smileDynamics)

void	setSimulateCapFloorVols (bool simulate)

void	setCapFloorVolKeys (vector< string > names)

void	setCapFloorVolExpiries (const string &key, const vector< Period > &p)

void	setCapFloorVolStrikes (const std::string &key, const std::vector< QuantLib::Rate > &strikes)

void	setCapFloorVolIsAtm (const std::string &key, bool isAtm)

string &	capFloorVolDecayMode ()

void	setCapFloorVolAdjustOptionletPillars (bool capFloorVolAdjustOptionletPillars)

void	setCapFloorVolUseCapAtm (bool capFloorVolUseCapAtm)

void	setCapFloorVolSmileDynamics (const string &key, const string &smileDynamics)

void	setSimulateYoYInflationCapFloorVols (bool simulate)

void	setYoYInflationCapFloorVolNames (vector< string > names)

void	setYoYInflationCapFloorVolExpiries (const string &key, const vector< Period > &p)

void	setYoYInflationCapFloorVolStrikes (const std::string &key, const std::vector< QuantLib::Rate > &strikes)

string &	yoyInflationCapFloorVolDecayMode ()

void	setYoYInflationCapFloorVolSmileDynamics (const string &key, const string &smileDynamics)

void	setSimulateZeroInflationCapFloorVols (bool simulate)

void	setZeroInflationCapFloorNames (vector< string > names)

void	setZeroInflationCapFloorVolExpiries (const string &key, const vector< Period > &p)

void	setZeroInflationCapFloorVolStrikes (const std::string &key, const std::vector< QuantLib::Rate > &strikes)

string &	zeroInflationCapFloorVolDecayMode ()

void	setZeroInflationCapFloorVolSmileDynamics (const string &key, const string &smileDynamics)

void	setSimulateSurvivalProbabilities (bool simulate)

void	setSimulateRecoveryRates (bool simulate)

void	setDefaultNames (vector< string > names)

void	setDefaultTenors (const string &key, const vector< Period > &p)

void	setDefaultCurveCalendars (const string &key, const string &p)

void	setDefaultCurveExtrapolation (const std::string &e)

void	setSimulateCdsVols (bool simulate)

void	setSimulateCdsVolsATMOnly (bool simulateATMOnly)

vector< Period > &	cdsVolExpiries ()

void	setCdsVolNames (vector< string > names)

string &	cdsVolDecayMode ()

void	setCdsVolSmileDynamics (const string &key, const string &smileDynamics)

void	setEquityNames (vector< string > names)

void	setEquityDividendCurves (vector< string > names)

void	setEquityDividendTenors (const string &key, const vector< Period > &p)

void	setSimulateDividendYield (bool simulate)

void	setSimulateFXVols (bool simulate)

void	setSimulateFxVolATMOnly (bool simulateATMOnly)

void	setFxVolIsSurface (const string &ccypair, bool val)

void	setFxVolIsSurface (bool val)

void	setFxVolExpiries (const string &name, const vector< Period > &expiries)

void	setFxVolDecayMode (const string &val)

void	setFxVolCcyPairs (vector< string > names)

void	setFxVolMoneyness (const string &ccypair, const vector< Real > &moneyness)

void	setFxVolMoneyness (const vector< Real > &moneyness)

void	setFxVolStdDevs (const string &ccypair, const vector< Real > &stdDevs)

void	setFxVolStdDevs (const vector< Real > &stdDevs)

void	setFxVolSmileDynamics (const string &name, const string &smileDynamics)

void	setSimulateEquityVols (bool simulate)

void	setSimulateEquityVolATMOnly (bool simulateATMOnly)

void	setEquityVolIsSurface (const string &name, bool isSurface)

void	setEquityVolExpiries (const string &name, const vector< Period > &expiries)

void	setEquityVolDecayMode (const string &val)

void	setEquityVolNames (vector< string > names)

void	setEquityVolMoneyness (const string &name, const vector< Real > &moneyness)

void	setEquityVolStandardDevs (const string &name, const vector< Real > &standardDevs)

void	setEquityVolSmileDynamics (const string &name, const string &smileDynamics)

vector< string > &	additionalScenarioDataIndices ()

void	setAdditionalScenarioDataIndices (const vector< string > &asdi)

vector< string > &	additionalScenarioDataCcys ()

void	setAdditionalScenarioDataCcys (const vector< string > &ccys)

void	setSecuritySpreadsSimulate (bool simulate)

void	setSecurities (vector< string > names)

void	setRecoveryRates (vector< string > names)

void	setCprs (const vector< string > &names)

void	setSimulateCprs (bool simulate)

bool	simulateCprs () const

const vector< string > &	cprs () const

void	setSimulateBaseCorrelations (bool simulate)

vector< Period > &	baseCorrelationTerms ()

vector< Real > &	baseCorrelationDetachmentPoints ()

void	setBaseCorrelationNames (vector< string > names)

void	setCpiIndices (vector< string > names)

void	setZeroInflationIndices (vector< string > names)

void	setZeroInflationTenors (const string &key, const vector< Period > &p)

void	setYoyInflationIndices (vector< string > names)

void	setYoyInflationTenors (const string &key, const vector< Period > &p)

void	setCommodityCurveSimulate (bool simulate)

void	setCommodityNames (vector< string > names)

void	setCommodityCurves (vector< string > names)

void	setCommodityCurveTenors (const std::string &commodityName, const std::vector< QuantLib::Period > &p)

void	setCommodityVolSimulate (bool simulate)

std::string &	commodityVolDecayMode ()

void	setCommodityVolNames (vector< string > names)

std::vector< QuantLib::Period > &	commodityVolExpiries (const std::string &commodityName)

std::vector< QuantLib::Real > &	commodityVolMoneyness (const std::string &commodityName)

void	setCommodityVolSmileDynamics (const string &key, const string &smileDynamics)

void	setSimulateCorrelations (bool simulate)

bool &	correlationIsSurface ()

vector< Period > &	correlationExpiries ()

void	setCorrelationPairs (vector< string > names)

vector< Real > &	correlationStrikes ()

void	setNumberOfCreditStates (Size numberOfCreditStates)

Serialisation
virtual void	fromXML (XMLNode *node) override

virtual XMLNode *	toXML (ore::data::XMLDocument &doc) const override

Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()

virtual void	fromXML (XMLNode *node)=0

virtual XMLNode *	toXML (XMLDocument &doc) const=0

void	fromFile (const std::string &filename)

void	toFile (const std::string &filename) const

void	fromXMLString (const std::string &xml)

std::string	toXMLString () const

Equality Operators
string	baseCcy_

vector< string >	ccys_

map< string, string >	yieldCurveCurrencies_

map< string, vector< Period > >	yieldCurveTenors_

map< string, string >	swapIndices_

string	interpolation_

string	extrapolation_

map< string, bool >	swapVolIsCube_

bool	swapVolSimulateATMOnly_ = false

map< string, vector< Period > >	swapVolTerms_

map< string, vector< Period > >	swapVolExpiries_

map< string, vector< Real > >	swapVolStrikeSpreads_

string	swapVolDecayMode_

map< string, string >	swapVolSmileDynamics_

vector< Period >	yieldVolTerms_

vector< Period >	yieldVolExpiries_

string	yieldVolDecayMode_

map< string, string >	yieldVolSmileDynamics_

map< string, vector< Period > >	capFloorVolExpiries_

map< std::string, std::vector< QuantLib::Rate > >	capFloorVolStrikes_

map< std::string, bool >	capFloorVolIsAtm_

string	capFloorVolDecayMode_

bool	capFloorVolAdjustOptionletPillars_

bool	capFloorVolUseCapAtm_

map< string, string >	capFloorVolSmileDynamics_

map< string, vector< Period > >	yoyInflationCapFloorVolExpiries_

map< std::string, std::vector< QuantLib::Rate > >	yoyInflationCapFloorVolStrikes_

string	yoyInflationCapFloorVolDecayMode_

map< string, string >	yoyInflationCapFloorVolSmileDynamics_

map< string, vector< Period > >	zeroInflationCapFloorVolExpiries_

map< std::string, std::vector< QuantLib::Rate > >	zeroInflationCapFloorVolStrikes_

string	zeroInflationCapFloorVolDecayMode_

map< string, string >	zeroInflationCapFloorVolSmileDynamics_

map< string, string >	defaultCurveCalendars_

map< string, vector< Period > >	defaultTenors_

string	defaultCurveExtrapolation_

bool	cdsVolSimulateATMOnly_ = false

vector< Period >	cdsVolExpiries_

string	cdsVolDecayMode_

map< string, string >	cdsVolSmileDynamics_

map< string, vector< Period > >	equityDividendTenors_

bool	fxVolSimulateATMOnly_ = false

map< std::string, bool >	fxVolIsSurface_

map< string, vector< Period > >	fxVolExpiries_

string	fxVolDecayMode_

map< string, vector< Real > >	fxMoneyness_

map< string, vector< Real > >	fxStandardDevs_

map< string, string >	fxVolSmileDynamics_

bool	equityVolSimulateATMOnly_ = false

map< string, bool >	equityVolIsSurface_

map< string, vector< Period > >	equityVolExpiries_

string	equityVolDecayMode_

map< string, vector< Real > >	equityMoneyness_

map< string, vector< Real > >	equityStandardDevs_

map< string, string >	equityVolSmileDynamics_

vector< string >	additionalScenarioDataIndices_

vector< string >	additionalScenarioDataCcys_

Size	additionalScenarioDataNumberOfCreditStates_ = 0

vector< string >	additionalScenarioDataSurvivalWeights_

bool	cprSimulate_

vector< string >	cprs_

vector< Period >	baseCorrelationTerms_

vector< Real >	baseCorrelationDetachmentPoints_

map< string, vector< Period > >	zeroInflationTenors_

map< string, vector< Period > >	yoyInflationTenors_

std::map< std::string, std::vector< QuantLib::Period > >	commodityCurveTenors_

std::string	commodityVolDecayMode_

std::map< std::string, std::vector< QuantLib::Period > >	commodityVolExpiries_

std::map< std::string, std::vector< QuantLib::Real > >	commodityVolMoneyness_

map< string, string >	commodityVolSmileDynamics_

bool	correlationIsSurface_

vector< Period >	correlationExpiries_

vector< Real >	correlationStrikes_

Size	numberOfCreditStates_ = 0

std::map< RiskFactorKey::KeyType, std::pair< bool, std::set< std::string > > >	params_

bool	operator== (const ScenarioSimMarketParameters &rhs)

bool	operator!= (const ScenarioSimMarketParameters &rhs)

void	setDefaults ()

void	reset ()
	A method used to reset the object to its default state before fromXML is called. More...

Detailed Description

ScenarioSimMarket description.

Definition at line 47 of file scenariosimmarketparameters.hpp.

Constructor & Destructor Documentation

◆ ScenarioSimMarketParameters()

ScenarioSimMarketParameters ( )

Default constructor.

Definition at line 50 of file scenariosimmarketparameters.hpp.

        : swapVolIsCube_({{"", false}}), swapVolStrikeSpreads_({{"", {0.0}}}),
          capFloorVolAdjustOptionletPillars_(false), capFloorVolUseCapAtm_(false), cprSimulate_(false),
          correlationIsSurface_(false), correlationStrikes_({0.0}) {
        setDefaults();
    }

Member Function Documentation

◆ baseCcy() [1/2]

const string & baseCcy ( ) const

Definition at line 59 of file scenariosimmarketparameters.hpp.

59{ return baseCcy_; }

ore::analytics::ScenarioSimMarketParameters::baseCcy_

string baseCcy_

Definition: scenariosimmarketparameters.hpp:412

◆ ccys() [1/2]

const vector< string > & ccys ( ) const

Definition at line 60 of file scenariosimmarketparameters.hpp.

60{ return ccys_; }

ore::analytics::ScenarioSimMarketParameters::ccys_

vector< string > ccys_

Definition: scenariosimmarketparameters.hpp:413

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◆ paramsLookup()

vector< string > paramsLookup ( RiskFactorKey::KeyType k ) const

Definition at line 62 of file scenariosimmarketparameters.cpp.

                                                                                      {
    vector<string> names;
    auto it = params_.find(kt);
    if (it != params_.end()) {
        for (auto n : it->second.second)
            names.push_back(n);
    }
    return names;
}

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◆ hasParamsName()

bool hasParamsName	(	RiskFactorKey::KeyType	kt,
		string	name
	)		const

Definition at line 72 of file scenariosimmarketparameters.cpp.

                                                                                          {
    auto it = params_.find(kt);
    if (it != params_.end()) {
        return std::find(it->second.second.begin(), it->second.second.end(), name) == it->second.second.end() ? false
                                                                                                              : true;
    }
    return false;
}

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◆ addParamsName()

void addParamsName	(	RiskFactorKey::KeyType	kt,
		vector< string >	names
	)

Definition at line 81 of file scenariosimmarketparameters.cpp.

                                                                                             {
    // check if key type exists - if doesn't exist set simulate to true first
    if (names.size() > 0) {
        auto it = params_.find(kt);
        if (it == params_.end())
            params_[kt].first = true;
        for (auto name : names) {
            if (!hasParamsName(kt, name))
                params_[kt].second.insert(name);
        }
    }
}

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◆ paramsSimulate()

bool paramsSimulate ( RiskFactorKey::KeyType kt ) const

Definition at line 94 of file scenariosimmarketparameters.cpp.

                                                                              {
    bool simulate = false;
    auto it = params_.find(kt);
    if (it != params_.end())
        simulate = it->second.first;
    return simulate;
}

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◆ setParamsSimulate()

void setParamsSimulate	(	RiskFactorKey::KeyType	kt,
		bool	simulate
	)

Definition at line 102 of file scenariosimmarketparameters.cpp.

                                                                                          {
    params_[kt].first = simulate;
}

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◆ discountCurveNames()

vector< string > discountCurveNames ( ) const

Definition at line 67 of file scenariosimmarketparameters.hpp.

67{ return paramsLookup(RiskFactorKey::KeyType::DiscountCurve); }

ore::analytics::RiskFactorKey::KeyType::DiscountCurve

@ DiscountCurve

ore::analytics::ScenarioSimMarketParameters::paramsLookup

vector< string > paramsLookup(RiskFactorKey::KeyType k) const

Definition: scenariosimmarketparameters.cpp:62

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◆ yieldCurveNames()

vector< string > yieldCurveNames ( ) const

Definition at line 69 of file scenariosimmarketparameters.hpp.

69{ return paramsLookup(RiskFactorKey::KeyType::YieldCurve); }

ore::analytics::RiskFactorKey::KeyType::YieldCurve

@ YieldCurve

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◆ yieldCurveCurrencies() [1/2]

const map< string, string > & yieldCurveCurrencies ( ) const

Definition at line 70 of file scenariosimmarketparameters.hpp.

70{ return yieldCurveCurrencies_; }

ore::analytics::ScenarioSimMarketParameters::yieldCurveCurrencies_

map< string, string > yieldCurveCurrencies_

Definition: scenariosimmarketparameters.hpp:414

◆ yieldCurveTenors() [1/2]

const vector< Period > & yieldCurveTenors ( const string & key ) const

Definition at line 162 of file scenariosimmarketparameters.cpp.

                                                                                           {
    return lookup(yieldCurveTenors_, key);
}

◆ hasYieldCurveTenors()

bool hasYieldCurveTenors ( const string & key ) const

Definition at line 72 of file scenariosimmarketparameters.hpp.

72{ return yieldCurveTenors_.count(key) > 0; }

◆ indices()

vector< string > indices ( ) const

Definition at line 73 of file scenariosimmarketparameters.hpp.

73{ return paramsLookup(RiskFactorKey::KeyType::IndexCurve); }

ore::analytics::RiskFactorKey::KeyType::IndexCurve

@ IndexCurve

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◆ swapIndices() [1/2]

const map< string, string > & swapIndices ( ) const

Definition at line 74 of file scenariosimmarketparameters.hpp.

74{ return swapIndices_; }

ore::analytics::ScenarioSimMarketParameters::swapIndices_

map< string, string > swapIndices_

Definition: scenariosimmarketparameters.hpp:416

◆ interpolation() [1/2]

const string & interpolation ( ) const

Definition at line 75 of file scenariosimmarketparameters.hpp.

75{ return interpolation_; }

ore::analytics::ScenarioSimMarketParameters::interpolation_

string interpolation_

Definition: scenariosimmarketparameters.hpp:417

◆ extrapolation() [1/2]

const string & extrapolation ( ) const

Definition at line 76 of file scenariosimmarketparameters.hpp.

76{ return extrapolation_; }

ore::analytics::ScenarioSimMarketParameters::extrapolation_

string extrapolation_

Definition: scenariosimmarketparameters.hpp:418

◆ yieldCurveTenors() [2/2]

const map< string, vector< Period > > & yieldCurveTenors ( ) const

Definition at line 77 of file scenariosimmarketparameters.hpp.

77{ return yieldCurveTenors_; }

◆ simulateFxSpots()

bool simulateFxSpots ( ) const

Definition at line 79 of file scenariosimmarketparameters.hpp.

79{ return paramsSimulate(RiskFactorKey::KeyType::FXSpot); }

ore::analytics::RiskFactorKey::KeyType::FXSpot

@ FXSpot

ore::analytics::ScenarioSimMarketParameters::paramsSimulate

bool paramsSimulate(RiskFactorKey::KeyType kt) const

Definition: scenariosimmarketparameters.cpp:94

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◆ fxCcyPairs()

vector< string > fxCcyPairs ( ) const

Definition at line 80 of file scenariosimmarketparameters.hpp.

80{ return paramsLookup(RiskFactorKey::KeyType::FXSpot); }

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◆ simulateSwapVols()

bool simulateSwapVols ( ) const

Definition at line 82 of file scenariosimmarketparameters.hpp.

82{ return paramsSimulate(RiskFactorKey::KeyType::SwaptionVolatility); }

ore::analytics::RiskFactorKey::KeyType::SwaptionVolatility

@ SwaptionVolatility

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◆ swapVolIsCube()

bool swapVolIsCube ( const string & key ) const

Definition at line 192 of file scenariosimmarketparameters.cpp.

192{ return lookup(swapVolIsCube_, key); }

◆ simulateSwapVolATMOnly() [1/2]

bool simulateSwapVolATMOnly ( ) const

Definition at line 84 of file scenariosimmarketparameters.hpp.

84{ return swapVolSimulateATMOnly_; }

ore::analytics::ScenarioSimMarketParameters::swapVolSimulateATMOnly_

bool swapVolSimulateATMOnly_

Definition: scenariosimmarketparameters.hpp:421

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◆ swapVolTerms()

const vector< Period > & swapVolTerms ( const string & key ) const

Definition at line 222 of file scenariosimmarketparameters.cpp.

                                                                                       {
    return lookup(swapVolTerms_, key);
}

◆ swapVolExpiries()

const vector< Period > & swapVolExpiries ( const string & key ) const

Definition at line 226 of file scenariosimmarketparameters.cpp.

                                                                                          {
    return lookup(swapVolExpiries_, key);
}

◆ swapVolKeys()

vector< string > swapVolKeys ( ) const

Definition at line 87 of file scenariosimmarketparameters.hpp.

87{ return paramsLookup(RiskFactorKey::KeyType::SwaptionVolatility); }

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◆ swapVolDecayMode() [1/2]

const string & swapVolDecayMode ( ) const

Definition at line 88 of file scenariosimmarketparameters.hpp.

88{ return swapVolDecayMode_; }

ore::analytics::ScenarioSimMarketParameters::swapVolDecayMode_

string swapVolDecayMode_

Definition: scenariosimmarketparameters.hpp:425

◆ swapVolStrikeSpreads()

const vector< Real > & swapVolStrikeSpreads ( const string & key ) const

Definition at line 230 of file scenariosimmarketparameters.cpp.

                                                                                             {
    return lookup(swapVolStrikeSpreads_, key);
}

◆ swapVolSmileDynamics()

const string & swapVolSmileDynamics ( const string & key ) const

Definition at line 194 of file scenariosimmarketparameters.cpp.

                                                                                       {
    return lookup(swapVolSmileDynamics_, key);
}

◆ simulateYieldVols()

bool simulateYieldVols ( ) const

Definition at line 92 of file scenariosimmarketparameters.hpp.

92{ return paramsSimulate(RiskFactorKey::KeyType::YieldVolatility); }

ore::analytics::RiskFactorKey::KeyType::YieldVolatility

@ YieldVolatility

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◆ yieldVolTerms() [1/2]

const vector< Period > & yieldVolTerms ( ) const

Definition at line 93 of file scenariosimmarketparameters.hpp.

93{ return yieldVolTerms_; }

ore::analytics::ScenarioSimMarketParameters::yieldVolTerms_

vector< Period > yieldVolTerms_

Definition: scenariosimmarketparameters.hpp:428

◆ yieldVolExpiries() [1/2]

const vector< Period > & yieldVolExpiries ( ) const

Definition at line 94 of file scenariosimmarketparameters.hpp.

94{ return yieldVolExpiries_; }

ore::analytics::ScenarioSimMarketParameters::yieldVolExpiries_

vector< Period > yieldVolExpiries_

Definition: scenariosimmarketparameters.hpp:429

◆ yieldVolNames()

vector< string > yieldVolNames ( ) const

Definition at line 95 of file scenariosimmarketparameters.hpp.

95{ return paramsLookup(RiskFactorKey::KeyType::YieldVolatility); }

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◆ yieldVolDecayMode() [1/2]

const string & yieldVolDecayMode ( ) const

Definition at line 96 of file scenariosimmarketparameters.hpp.

96{ return yieldVolDecayMode_; }

ore::analytics::ScenarioSimMarketParameters::yieldVolDecayMode_

string yieldVolDecayMode_

Definition: scenariosimmarketparameters.hpp:430

◆ yieldVolSmileDynamics()

const string & yieldVolSmileDynamics ( const string & key ) const

Definition at line 197 of file scenariosimmarketparameters.cpp.

                                                                                        {
    return lookup(yieldVolSmileDynamics_, key);
}

◆ simulateCapFloorVols()

bool simulateCapFloorVols ( ) const

Definition at line 99 of file scenariosimmarketparameters.hpp.

99{ return paramsSimulate(RiskFactorKey::KeyType::OptionletVolatility); }

ore::analytics::RiskFactorKey::KeyType::OptionletVolatility

@ OptionletVolatility

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◆ capFloorVolKeys()

vector< string > capFloorVolKeys ( ) const

Definition at line 100 of file scenariosimmarketparameters.hpp.

100{ return paramsLookup(RiskFactorKey::KeyType::OptionletVolatility); }

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◆ capFloorVolExpiries()

const vector< Period > & capFloorVolExpiries ( const string & key ) const

Definition at line 166 of file scenariosimmarketparameters.cpp.

                                                                                              {
    return lookup(capFloorVolExpiries_, key);
}

◆ hasCapFloorVolExpiries()

bool hasCapFloorVolExpiries ( const string & key ) const

Definition at line 102 of file scenariosimmarketparameters.hpp.

102{ return capFloorVolExpiries_.count(key) > 0; }

◆ capFloorVolStrikes()

const vector< Rate > & capFloorVolStrikes ( const std::string & key ) const

Definition at line 170 of file scenariosimmarketparameters.cpp.

                                                                                           {
    return lookup(capFloorVolStrikes_, key);
}

◆ capFloorVolIsAtm()

bool capFloorVolIsAtm ( const std::string & key ) const

Definition at line 174 of file scenariosimmarketparameters.cpp.

174{ return lookup(capFloorVolIsAtm_, key); }

ore::analytics::ScenarioSimMarketParameters::capFloorVolIsAtm_

map< std::string, bool > capFloorVolIsAtm_

Definition: scenariosimmarketparameters.hpp:435

◆ capFloorVolDecayMode() [1/2]

const string & capFloorVolDecayMode ( ) const

Definition at line 105 of file scenariosimmarketparameters.hpp.

105{ return capFloorVolDecayMode_; }

ore::analytics::ScenarioSimMarketParameters::capFloorVolDecayMode_

string capFloorVolDecayMode_

Definition: scenariosimmarketparameters.hpp:436

◆ capFloorVolAdjustOptionletPillars()

bool capFloorVolAdjustOptionletPillars ( ) const

If true, the capFloorVolExpiries are interpreted as cap maturities and the pillars for the optionlet structure are set equal to the fixing date of the last optionlet on the cap. If false, the capFloorVolExpiries are the pillars for the optionlet structure.

Definition at line 110 of file scenariosimmarketparameters.hpp.

110{ return capFloorVolAdjustOptionletPillars_; }

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◆ capFloorVolUseCapAtm()

bool capFloorVolUseCapAtm ( ) const

If true, use ATM cap rate when capFloorVolIsAtm is true when querying the todaysmarket optionlet volatility structure at the configured expiries. Otherwise, use the index forward rate.

Definition at line 114 of file scenariosimmarketparameters.hpp.

114{ return capFloorVolUseCapAtm_; }

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◆ capFloorVolSmileDynamics()

const string & capFloorVolSmileDynamics ( const string & key ) const

Definition at line 200 of file scenariosimmarketparameters.cpp.

                                                                                           {
    return lookup(capFloorVolSmileDynamics_, key);
}

◆ simulateYoYInflationCapFloorVols()

bool simulateYoYInflationCapFloorVols ( ) const

Definition at line 117 of file scenariosimmarketparameters.hpp.

                                                  {
        return paramsSimulate(RiskFactorKey::KeyType::YoYInflationCapFloorVolatility);
    }

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◆ yoyInflationCapFloorVolNames()

vector< string > yoyInflationCapFloorVolNames ( ) const

Definition at line 120 of file scenariosimmarketparameters.hpp.

                                                        {
        return paramsLookup(RiskFactorKey::KeyType::YoYInflationCapFloorVolatility);
    }

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◆ yoyInflationCapFloorVolExpiries()

const vector< Period > & yoyInflationCapFloorVolExpiries ( const string & key ) const

Definition at line 176 of file scenariosimmarketparameters.cpp.

                                                                                                          {
    return lookup(yoyInflationCapFloorVolExpiries_, key);
}

◆ hasYoYInflationCapFloorVolExpiries()

bool hasYoYInflationCapFloorVolExpiries ( const string & key ) const

Definition at line 124 of file scenariosimmarketparameters.hpp.

                                                                     {
        return yoyInflationCapFloorVolExpiries_.count(key) > 0;
    }

◆ yoyInflationCapFloorVolStrikes()

const vector< Rate > & yoyInflationCapFloorVolStrikes ( const std::string & key ) const

Definition at line 180 of file scenariosimmarketparameters.cpp.

                                                                                                       {
    return lookup(yoyInflationCapFloorVolStrikes_, key);
}

◆ yoyInflationCapFloorVolDecayMode() [1/2]

const string & yoyInflationCapFloorVolDecayMode ( ) const

Definition at line 128 of file scenariosimmarketparameters.hpp.

128{ return yoyInflationCapFloorVolDecayMode_; }

ore::analytics::ScenarioSimMarketParameters::yoyInflationCapFloorVolDecayMode_

string yoyInflationCapFloorVolDecayMode_

Definition: scenariosimmarketparameters.hpp:443

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◆ yoyInflationCapFloorVolSmileDynamics()

const string & yoyInflationCapFloorVolSmileDynamics ( const string & key ) const

Definition at line 203 of file scenariosimmarketparameters.cpp.

                                                                                                       {
    return lookup(yoyInflationCapFloorVolSmileDynamics_, key);
}

◆ simulateZeroInflationCapFloorVols()

bool simulateZeroInflationCapFloorVols ( ) const

Definition at line 131 of file scenariosimmarketparameters.hpp.

                                                   {
        return paramsSimulate(RiskFactorKey::KeyType::ZeroInflationCapFloorVolatility);
    }

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◆ zeroInflationCapFloorVolNames()

vector< string > zeroInflationCapFloorVolNames ( ) const

Definition at line 134 of file scenariosimmarketparameters.hpp.

                                                         {
        return paramsLookup(RiskFactorKey::KeyType::ZeroInflationCapFloorVolatility);
    }

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◆ zeroInflationCapFloorVolExpiries()

const vector< Period > & zeroInflationCapFloorVolExpiries ( const string & key ) const

Definition at line 234 of file scenariosimmarketparameters.cpp.

                                                                                                           {
    return lookup(zeroInflationCapFloorVolExpiries_, key);
}

◆ hasZeroInflationCapFloorVolExpiries()

bool hasZeroInflationCapFloorVolExpiries ( const string & key ) const

Definition at line 138 of file scenariosimmarketparameters.hpp.

                                                                      {
        return zeroInflationCapFloorVolExpiries_.count(key) > 0;
    }

◆ zeroInflationCapFloorVolStrikes()

const vector< Rate > & zeroInflationCapFloorVolStrikes ( const string & key ) const

Definition at line 238 of file scenariosimmarketparameters.cpp.

                                                                                                        {
    return lookup(zeroInflationCapFloorVolStrikes_, key);
}

◆ zeroInflationCapFloorVolDecayMode() [1/2]

const string & zeroInflationCapFloorVolDecayMode ( ) const

Definition at line 142 of file scenariosimmarketparameters.hpp.

142{ return zeroInflationCapFloorVolDecayMode_; }

ore::analytics::ScenarioSimMarketParameters::zeroInflationCapFloorVolDecayMode_

string zeroInflationCapFloorVolDecayMode_

Definition: scenariosimmarketparameters.hpp:448

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◆ zeroInflationCapFloorVolSmileDynamics()

const string & zeroInflationCapFloorVolSmileDynamics ( const string & key ) const

Definition at line 206 of file scenariosimmarketparameters.cpp.

                                                                                                        {
    return lookup(zeroInflationCapFloorVolSmileDynamics_, key);
}

◆ simulateSurvivalProbabilities()

bool simulateSurvivalProbabilities ( ) const

Definition at line 145 of file scenariosimmarketparameters.hpp.

145{ return paramsSimulate(RiskFactorKey::KeyType::SurvivalProbability); }

ore::analytics::RiskFactorKey::KeyType::SurvivalProbability

@ SurvivalProbability

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◆ simulateRecoveryRates()

bool simulateRecoveryRates ( ) const

Definition at line 146 of file scenariosimmarketparameters.hpp.

146{ return paramsSimulate(RiskFactorKey::KeyType::RecoveryRate); }

ore::analytics::RiskFactorKey::KeyType::RecoveryRate

@ RecoveryRate

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◆ defaultNames()

vector< string > defaultNames ( ) const

Definition at line 147 of file scenariosimmarketparameters.hpp.

147{ return paramsLookup(RiskFactorKey::KeyType::SurvivalProbability); }

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◆ defaultCurveCalendar()

const string & defaultCurveCalendar ( const string & key ) const

Definition at line 188 of file scenariosimmarketparameters.cpp.

                                                                                       {
    return lookup(defaultCurveCalendars_, key);
}

◆ defaultTenors()

const vector< Period > & defaultTenors ( const string & key ) const

Definition at line 184 of file scenariosimmarketparameters.cpp.

                                                                                        {
    return lookup(defaultTenors_, key);
}

◆ hasDefaultTenors()

bool hasDefaultTenors ( const string & key ) const

Definition at line 150 of file scenariosimmarketparameters.hpp.

150{ return defaultTenors_.count(key) > 0; }

◆ defaultCurveExtrapolation()

const string & defaultCurveExtrapolation ( ) const

Definition at line 151 of file scenariosimmarketparameters.hpp.

151{ return defaultCurveExtrapolation_; }

ore::analytics::ScenarioSimMarketParameters::defaultCurveExtrapolation_

string defaultCurveExtrapolation_

Definition: scenariosimmarketparameters.hpp:453

◆ simulateCdsVols()

bool simulateCdsVols ( ) const

Definition at line 153 of file scenariosimmarketparameters.hpp.

153{ return paramsSimulate(RiskFactorKey::KeyType::CDSVolatility); }

ore::analytics::RiskFactorKey::KeyType::CDSVolatility

@ CDSVolatility

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◆ simulateCdsVolATMOnly()

bool simulateCdsVolATMOnly ( ) const

Definition at line 154 of file scenariosimmarketparameters.hpp.

154{ return cdsVolSimulateATMOnly_; }

ore::analytics::ScenarioSimMarketParameters::cdsVolSimulateATMOnly_

bool cdsVolSimulateATMOnly_

Definition: scenariosimmarketparameters.hpp:455

◆ cdsVolExpiries() [1/2]

const vector< Period > & cdsVolExpiries ( ) const

Definition at line 155 of file scenariosimmarketparameters.hpp.

155{ return cdsVolExpiries_; }

ore::analytics::ScenarioSimMarketParameters::cdsVolExpiries_

vector< Period > cdsVolExpiries_

Definition: scenariosimmarketparameters.hpp:456

◆ cdsVolNames()

vector< string > cdsVolNames ( ) const

Definition at line 156 of file scenariosimmarketparameters.hpp.

156{ return paramsLookup(RiskFactorKey::KeyType::CDSVolatility); }

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◆ cdsVolDecayMode() [1/2]

const string & cdsVolDecayMode ( ) const

Definition at line 157 of file scenariosimmarketparameters.hpp.

157{ return cdsVolDecayMode_; }

ore::analytics::ScenarioSimMarketParameters::cdsVolDecayMode_

string cdsVolDecayMode_

Definition: scenariosimmarketparameters.hpp:457

◆ cdsVolSmileDynamics()

const string & cdsVolSmileDynamics ( const string & key ) const

Definition at line 209 of file scenariosimmarketparameters.cpp.

                                                                                      {
    return lookup(cdsVolSmileDynamics_, key);
}

◆ equityNames()

vector< string > equityNames ( ) const

Definition at line 160 of file scenariosimmarketparameters.hpp.

160{ return paramsLookup(RiskFactorKey::KeyType::EquitySpot); }

ore::analytics::RiskFactorKey::KeyType::EquitySpot

@ EquitySpot

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◆ equityDividendTenors()

const vector< Period > & equityDividendTenors ( const string & key ) const

Definition at line 242 of file scenariosimmarketparameters.cpp.

                                                                                               {
    return lookup(equityDividendTenors_, key);
}

◆ hasEquityDividendTenors()

bool hasEquityDividendTenors ( const string & key ) const

Definition at line 162 of file scenariosimmarketparameters.hpp.

162{ return equityDividendTenors_.count(key) > 0; }

◆ equityDividendYields()

vector< string > equityDividendYields ( ) const

Definition at line 163 of file scenariosimmarketparameters.hpp.

163{ return paramsLookup(RiskFactorKey::KeyType::DividendYield); }

ore::analytics::RiskFactorKey::KeyType::DividendYield

@ DividendYield

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◆ simulateDividendYield()

bool simulateDividendYield ( ) const

Definition at line 164 of file scenariosimmarketparameters.hpp.

164{ return paramsSimulate(RiskFactorKey::KeyType::DividendYield); }

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◆ simulateFXVols()

bool simulateFXVols ( ) const

Definition at line 167 of file scenariosimmarketparameters.hpp.

167{ return paramsSimulate(RiskFactorKey::KeyType::FXVolatility); }

ore::analytics::RiskFactorKey::KeyType::FXVolatility

@ FXVolatility

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◆ simulateFxVolATMOnly()

bool simulateFxVolATMOnly ( ) const

Definition at line 168 of file scenariosimmarketparameters.hpp.

168{ return fxVolSimulateATMOnly_; }

ore::analytics::ScenarioSimMarketParameters::fxVolSimulateATMOnly_

bool fxVolSimulateATMOnly_

Definition: scenariosimmarketparameters.hpp:463

◆ fxVolIsSurface()

bool fxVolIsSurface ( const std::string & ccypair ) const

Definition at line 278 of file scenariosimmarketparameters.cpp.

                                                                            {
    return lookup(fxVolIsSurface_, ccypair);
}

◆ fxUseMoneyness()

bool fxUseMoneyness ( const std::string & ccypair ) const

Definition at line 282 of file scenariosimmarketparameters.cpp.

                                                                            {
    try {
        const vector<Real> temp = lookup(fxMoneyness_, ccypair);
        if (temp.size() > 0)
            return true;
    } catch (...) {
    }
    return false;
}

◆ fxVolExpiries()

const vector< Period > & fxVolExpiries ( const string & key ) const

Definition at line 389 of file scenariosimmarketparameters.cpp.

                                                                                        {
    return lookup(fxVolExpiries_, key);
}

◆ fxVolDecayMode()

const string & fxVolDecayMode ( ) const

Definition at line 172 of file scenariosimmarketparameters.hpp.

172{ return fxVolDecayMode_; }

ore::analytics::ScenarioSimMarketParameters::fxVolDecayMode_

string fxVolDecayMode_

Definition: scenariosimmarketparameters.hpp:466

◆ fxVolCcyPairs()

vector< string > fxVolCcyPairs ( ) const

Definition at line 173 of file scenariosimmarketparameters.hpp.

173{ return paramsLookup(RiskFactorKey::KeyType::FXVolatility); }

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◆ fxVolMoneyness()

const vector< Real > & fxVolMoneyness ( const string & ccypair ) const

Definition at line 270 of file scenariosimmarketparameters.cpp.

                                                                                           {
    return lookup(fxMoneyness_, ccypair);
}

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◆ fxVolStdDevs()

const vector< Real > & fxVolStdDevs ( const string & ccypair ) const

Definition at line 274 of file scenariosimmarketparameters.cpp.

                                                                                         {
    return lookup(fxStandardDevs_, ccypair);
}

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◆ fxVolSmileDynamics()

const string & fxVolSmileDynamics ( const string & key ) const

Definition at line 212 of file scenariosimmarketparameters.cpp.

                                                                                     {
    return lookup(fxVolSmileDynamics_, key);
}

◆ simulateEquityVols()

bool simulateEquityVols ( ) const

Definition at line 178 of file scenariosimmarketparameters.hpp.

178{ return paramsSimulate(RiskFactorKey::KeyType::EquityVolatility); }

ore::analytics::RiskFactorKey::KeyType::EquityVolatility

@ EquityVolatility

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◆ simulateEquityVolATMOnly()

bool simulateEquityVolATMOnly ( ) const

Definition at line 179 of file scenariosimmarketparameters.hpp.

179{ return equityVolSimulateATMOnly_; }

ore::analytics::ScenarioSimMarketParameters::equityVolSimulateATMOnly_

bool equityVolSimulateATMOnly_

Definition: scenariosimmarketparameters.hpp:471

◆ equityUseMoneyness()

bool equityUseMoneyness ( const string & key ) const

Definition at line 628 of file scenariosimmarketparameters.cpp.

                                                                            {
    try {
        const vector<Real> temp = lookup(equityMoneyness_, key);
        if (temp.size() > 0)
            return true;
    } catch (...) {}
    return false;
}

◆ equityVolIsSurface()

bool equityVolIsSurface ( const string & key ) const

Definition at line 637 of file scenariosimmarketparameters.cpp.

                                                                            {
    return lookup(equityVolIsSurface_, key);
}

◆ equityVolExpiries()

const vector< Period > & equityVolExpiries ( const string & key ) const

Definition at line 641 of file scenariosimmarketparameters.cpp.

                                                                                            {
    return lookup(equityVolExpiries_, key);
}

◆ equityVolDecayMode()

const string & equityVolDecayMode ( ) const

Definition at line 183 of file scenariosimmarketparameters.hpp.

183{ return equityVolDecayMode_; }

ore::analytics::ScenarioSimMarketParameters::equityVolDecayMode_

string equityVolDecayMode_

Definition: scenariosimmarketparameters.hpp:474

◆ equityVolNames()

vector< string > equityVolNames ( ) const

Definition at line 184 of file scenariosimmarketparameters.hpp.

184{ return paramsLookup(RiskFactorKey::KeyType::EquityVolatility); }

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◆ equityVolMoneyness()

const vector< Real > & equityVolMoneyness ( const string & key ) const

Definition at line 645 of file scenariosimmarketparameters.cpp.

                                                                                           {
    return lookup(equityMoneyness_, key);
}

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◆ equityVolStandardDevs()

const vector< Real > & equityVolStandardDevs ( const string & key ) const

Definition at line 649 of file scenariosimmarketparameters.cpp.

                                                                                              {
    return lookup(equityStandardDevs_, key);
}

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◆ equityVolSmileDynamics()

const string & equityVolSmileDynamics ( const string & key ) const

Definition at line 215 of file scenariosimmarketparameters.cpp.

                                                                                         {
    return lookup(equityVolSmileDynamics_, key);
}

◆ additionalScenarioDataIndices() [1/2]

const vector< string > & additionalScenarioDataIndices ( ) const

Definition at line 189 of file scenariosimmarketparameters.hpp.

189{ return additionalScenarioDataIndices_; }

ore::analytics::ScenarioSimMarketParameters::additionalScenarioDataIndices_

vector< string > additionalScenarioDataIndices_

Definition: scenariosimmarketparameters.hpp:479

◆ additionalScenarioDataCcys() [1/2]

const vector< string > & additionalScenarioDataCcys ( ) const

Definition at line 190 of file scenariosimmarketparameters.hpp.

190{ return additionalScenarioDataCcys_; }

ore::analytics::ScenarioSimMarketParameters::additionalScenarioDataCcys_

vector< string > additionalScenarioDataCcys_

Definition: scenariosimmarketparameters.hpp:480

◆ additionalScenarioDataNumberOfCreditStates()

const Size additionalScenarioDataNumberOfCreditStates ( ) const

Definition at line 191 of file scenariosimmarketparameters.hpp.

191{ return additionalScenarioDataNumberOfCreditStates_; }

ore::analytics::ScenarioSimMarketParameters::additionalScenarioDataNumberOfCreditStates_

Size additionalScenarioDataNumberOfCreditStates_

Definition: scenariosimmarketparameters.hpp:481

◆ additionalScenarioDataSurvivalWeights()

const vector< string > & additionalScenarioDataSurvivalWeights ( ) const

Definition at line 192 of file scenariosimmarketparameters.hpp.

192{ return additionalScenarioDataSurvivalWeights_; }

ore::analytics::ScenarioSimMarketParameters::additionalScenarioDataSurvivalWeights_

vector< string > additionalScenarioDataSurvivalWeights_

Definition: scenariosimmarketparameters.hpp:482

◆ securitySpreadsSimulate()

bool securitySpreadsSimulate ( ) const

Definition at line 194 of file scenariosimmarketparameters.hpp.

194{ return paramsSimulate(RiskFactorKey::KeyType::SecuritySpread); }

ore::analytics::RiskFactorKey::KeyType::SecuritySpread

@ SecuritySpread

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◆ securities()

vector< string > securities ( ) const

Definition at line 195 of file scenariosimmarketparameters.hpp.

195{ return paramsLookup(RiskFactorKey::KeyType::SecuritySpread); }

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◆ simulateBaseCorrelations()

bool simulateBaseCorrelations ( ) const

Definition at line 197 of file scenariosimmarketparameters.hpp.

197{ return paramsSimulate(RiskFactorKey::KeyType::BaseCorrelation); }

ore::analytics::RiskFactorKey::KeyType::BaseCorrelation

@ BaseCorrelation

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◆ baseCorrelationTerms() [1/2]

const vector< Period > & baseCorrelationTerms ( ) const

Definition at line 198 of file scenariosimmarketparameters.hpp.

198{ return baseCorrelationTerms_; }

ore::analytics::ScenarioSimMarketParameters::baseCorrelationTerms_

vector< Period > baseCorrelationTerms_

Definition: scenariosimmarketparameters.hpp:487

◆ baseCorrelationDetachmentPoints() [1/2]

const vector< Real > & baseCorrelationDetachmentPoints ( ) const

Definition at line 199 of file scenariosimmarketparameters.hpp.

199{ return baseCorrelationDetachmentPoints_; }

ore::analytics::ScenarioSimMarketParameters::baseCorrelationDetachmentPoints_

vector< Real > baseCorrelationDetachmentPoints_

Definition: scenariosimmarketparameters.hpp:488

◆ baseCorrelationNames()

vector< string > baseCorrelationNames ( ) const

Definition at line 200 of file scenariosimmarketparameters.hpp.

200{ return paramsLookup(RiskFactorKey::KeyType::BaseCorrelation); }

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◆ cpiIndices()

vector< string > cpiIndices ( ) const

Definition at line 202 of file scenariosimmarketparameters.hpp.

202{ return paramsLookup(RiskFactorKey::KeyType::CPIIndex); }

ore::analytics::RiskFactorKey::KeyType::CPIIndex

@ CPIIndex

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◆ zeroInflationIndices()

vector< string > zeroInflationIndices ( ) const

Definition at line 203 of file scenariosimmarketparameters.hpp.

203{ return paramsLookup(RiskFactorKey::KeyType::ZeroInflationCurve); }

ore::analytics::RiskFactorKey::KeyType::ZeroInflationCurve

@ ZeroInflationCurve

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◆ zeroInflationTenors()

const vector< Period > & zeroInflationTenors ( const string & key ) const

Definition at line 246 of file scenariosimmarketparameters.cpp.

                                                                                              {
    return lookup(zeroInflationTenors_, key);
}

◆ hasZeroInflationTenors()

bool hasZeroInflationTenors ( const string & key ) const

Definition at line 205 of file scenariosimmarketparameters.hpp.

205{ return zeroInflationTenors_.count(key) > 0; }

◆ yoyInflationIndices()

vector< string > yoyInflationIndices ( ) const

Definition at line 206 of file scenariosimmarketparameters.hpp.

206{ return paramsLookup(RiskFactorKey::KeyType::YoYInflationCurve); }

ore::analytics::RiskFactorKey::KeyType::YoYInflationCurve

@ YoYInflationCurve

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◆ yoyInflationTenors()

const vector< Period > & yoyInflationTenors ( const string & key ) const

Definition at line 250 of file scenariosimmarketparameters.cpp.

                                                                                             {
    return lookup(yoyInflationTenors_, key);
}

◆ hasYoyInflationTenors()

bool hasYoyInflationTenors ( const string & key ) const

Definition at line 208 of file scenariosimmarketparameters.hpp.

208{ return yoyInflationTenors_.count(key) > 0; }

◆ commodityCurveSimulate()

bool commodityCurveSimulate ( ) const

Definition at line 211 of file scenariosimmarketparameters.hpp.

211{ return paramsSimulate(RiskFactorKey::KeyType::CommodityCurve); }

ore::analytics::RiskFactorKey::KeyType::CommodityCurve

@ CommodityCurve

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◆ commodityNames()

vector< string > commodityNames ( ) const

Definition at line 254 of file scenariosimmarketparameters.cpp.

                                                                 {
    return paramsLookup(RiskFactorKey::KeyType::CommodityCurve);
}

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◆ commodityCurveTenors()

const vector< Period > & commodityCurveTenors ( const std::string & commodityName ) const

Definition at line 258 of file scenariosimmarketparameters.cpp.

                                                                                                         {
    return lookup(commodityCurveTenors_, commodityName);
}

◆ hasCommodityCurveTenors()

bool hasCommodityCurveTenors ( const std::string & commodityName ) const

Definition at line 262 of file scenariosimmarketparameters.cpp.

                                                                                           {
    return commodityCurveTenors_.count(commodityName) > 0;
}

◆ commodityVolSimulate()

bool commodityVolSimulate ( ) const

Definition at line 217 of file scenariosimmarketparameters.hpp.

217{ return paramsSimulate(RiskFactorKey::KeyType::CommodityVolatility); }

ore::analytics::RiskFactorKey::KeyType::CommodityVolatility

@ CommodityVolatility

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◆ commodityVolDecayMode() [1/2]

const std::string & commodityVolDecayMode ( ) const

Definition at line 218 of file scenariosimmarketparameters.hpp.

218{ return commodityVolDecayMode_; }

ore::analytics::ScenarioSimMarketParameters::commodityVolDecayMode_

std::string commodityVolDecayMode_

Definition: scenariosimmarketparameters.hpp:497

◆ commodityVolNames()

std::vector< std::string > commodityVolNames ( ) const

Definition at line 219 of file scenariosimmarketparameters.hpp.

                                                   {
        return paramsLookup(RiskFactorKey::KeyType::CommodityVolatility);
    }

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◆ commodityVolExpiries() [1/2]

const vector< Period > & commodityVolExpiries ( const std::string & commodityName ) const

Definition at line 266 of file scenariosimmarketparameters.cpp.

                                                                                                         {
    return lookup(commodityVolExpiries_, commodityName);
}

◆ commodityVolMoneyness() [1/2]

const vector< Real > & commodityVolMoneyness ( const std::string & commodityName ) const

Definition at line 292 of file scenariosimmarketparameters.cpp.

                                                                                                        {
    if (commodityVolMoneyness_.count(commodityName) > 0) {
        return commodityVolMoneyness_.at(commodityName);
    } else {
        QL_FAIL("no moneyness for commodity \"" << commodityName << "\" found.");
    }
}

◆ commodityVolSmileDynamics()

const string & commodityVolSmileDynamics ( const string & commodityName ) const

Definition at line 218 of file scenariosimmarketparameters.cpp.

                                                                                            {
    return lookup(commodityVolSmileDynamics_, key);
}

◆ simulateCorrelations()

bool simulateCorrelations ( ) const

Definition at line 226 of file scenariosimmarketparameters.hpp.

226{ return paramsSimulate(RiskFactorKey::KeyType::Correlation); }

ore::analytics::RiskFactorKey::KeyType::Correlation

@ Correlation

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◆ correlationIsSurface() [1/2]

bool correlationIsSurface ( ) const

Definition at line 227 of file scenariosimmarketparameters.hpp.

227{ return correlationIsSurface_; }

◆ correlationExpiries() [1/2]

const vector< Period > & correlationExpiries ( ) const

Definition at line 228 of file scenariosimmarketparameters.hpp.

228{ return correlationExpiries_; }

ore::analytics::ScenarioSimMarketParameters::correlationExpiries_

vector< Period > correlationExpiries_

Definition: scenariosimmarketparameters.hpp:503

◆ correlationPairs()

vector< std::string > correlationPairs ( ) const

Definition at line 229 of file scenariosimmarketparameters.hpp.

229{ return paramsLookup(RiskFactorKey::KeyType::Correlation); }

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◆ correlationStrikes() [1/2]

const vector< Real > & correlationStrikes ( ) const

Definition at line 230 of file scenariosimmarketparameters.hpp.

230{ return correlationStrikes_; }

◆ numberOfCreditStates()

Size numberOfCreditStates ( ) const

Definition at line 232 of file scenariosimmarketparameters.hpp.

232{ return numberOfCreditStates_; }

ore::analytics::ScenarioSimMarketParameters::numberOfCreditStates_

Size numberOfCreditStates_

Definition: scenariosimmarketparameters.hpp:505

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◆ parameters()

const std::map< RiskFactorKey::KeyType, std::pair< bool, std::set< std::string > > > & parameters ( ) const

Definition at line 235 of file scenariosimmarketparameters.hpp.

                                                                                             {
        return params_;
    }

◆ baseCcy() [2/2]

string & baseCcy ( )

Definition at line 242 of file scenariosimmarketparameters.hpp.

242{ return baseCcy_; }

◆ ccys() [2/2]

vector< string > & ccys ( )

Definition at line 243 of file scenariosimmarketparameters.hpp.

243{ return ccys_; }

◆ setDiscountCurveNames()

void setDiscountCurveNames ( vector< string > names )

Definition at line 421 of file scenariosimmarketparameters.cpp.

                                                                            {
    ccys_ = names;
    addParamsName(RiskFactorKey::KeyType::DiscountCurve, names);
}

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◆ setYieldCurveNames()

void setYieldCurveNames ( vector< string > names )

Definition at line 426 of file scenariosimmarketparameters.cpp.

                                                                         {
    addParamsName(RiskFactorKey::KeyType::YieldCurve, names);
}

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◆ yieldCurveCurrencies() [2/2]

map< string, string > & yieldCurveCurrencies ( )

Definition at line 246 of file scenariosimmarketparameters.hpp.

246{ return yieldCurveCurrencies_; }

◆ setYieldCurveTenors()

void setYieldCurveTenors	(	const string &	key,
		const vector< Period > &	p
	)

Definition at line 300 of file scenariosimmarketparameters.cpp.

                                                                                                   {
    yieldCurveTenors_[key] = p;
}

◆ setIndices()

void setIndices ( vector< string > names )

Definition at line 430 of file scenariosimmarketparameters.cpp.

                                                                 {
    addParamsName(RiskFactorKey::KeyType::IndexCurve, names);
}

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◆ swapIndices() [2/2]

map< string, string > & swapIndices ( )

Definition at line 249 of file scenariosimmarketparameters.hpp.

249{ return swapIndices_; }

◆ interpolation() [2/2]

string & interpolation ( )

Definition at line 250 of file scenariosimmarketparameters.hpp.

250{ return interpolation_; }

◆ extrapolation() [2/2]

string & extrapolation ( )

Definition at line 251 of file scenariosimmarketparameters.hpp.

251{ return extrapolation_; }

◆ setSimulateFxSpots()

void setSimulateFxSpots ( bool simulate )

Definition at line 600 of file scenariosimmarketparameters.cpp.

                                                                  {
    setParamsSimulate(RiskFactorKey::KeyType::FXSpot, simulate);
}

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◆ setFxCcyPairs()

void setFxCcyPairs ( vector< string > names )

Definition at line 434 of file scenariosimmarketparameters.cpp.

                                                                    {
    addParamsName(RiskFactorKey::KeyType::FXSpot, names);
}

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◆ setSimulateSwapVols()

void setSimulateSwapVols ( bool simulate )

Definition at line 536 of file scenariosimmarketparameters.cpp.

                                                                   {
    setParamsSimulate(RiskFactorKey::KeyType::SwaptionVolatility, simulate);
}

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◆ setSwapVolIsCube()

void setSwapVolIsCube	(	const string &	key,
		bool	isCube
	)

Definition at line 304 of file scenariosimmarketparameters.cpp.

304{ swapVolIsCube_[key] = isCube; }

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◆ simulateSwapVolATMOnly() [2/2]

bool & simulateSwapVolATMOnly ( )

Definition at line 258 of file scenariosimmarketparameters.hpp.

258{ return swapVolSimulateATMOnly_; }

◆ setSwapVolTerms()

void setSwapVolTerms	(	const string &	key,
		const vector< Period > &	p
	)

Definition at line 336 of file scenariosimmarketparameters.cpp.

                                                                                            {
    swapVolTerms_[key] = p;
}

◆ setSwapVolKeys()

void setSwapVolKeys ( vector< string > names )

Definition at line 438 of file scenariosimmarketparameters.cpp.

                                                                     {
    addParamsName(RiskFactorKey::KeyType::SwaptionVolatility, names);
}

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◆ setSwapVolExpiries()

void setSwapVolExpiries	(	const string &	key,
		const vector< Period > &	p
	)

Definition at line 340 of file scenariosimmarketparameters.cpp.

                                                                                               {
    swapVolExpiries_[key] = p;
}

◆ setSwapVolStrikeSpreads()

void setSwapVolStrikeSpreads	(	const std::string &	key,
		const std::vector< QuantLib::Rate > &	strikes
	)

Definition at line 344 of file scenariosimmarketparameters.cpp.

                                                                                                  {
    setSwapVolIsCube(key, strikes.size() > 1);
    swapVolStrikeSpreads_[key] = strikes;
}

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◆ swapVolDecayMode() [2/2]

string & swapVolDecayMode ( )

Definition at line 263 of file scenariosimmarketparameters.hpp.

263{ return swapVolDecayMode_; }

◆ setSwapVolSmileDynamics()

void setSwapVolSmileDynamics	(	const string &	key,
		const string &	smileDynamics
	)

Definition at line 306 of file scenariosimmarketparameters.cpp.

                                                                                                        {
    swapVolSmileDynamics_[key] = smileDynamics;
}

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◆ setSimulateYieldVols()

void setSimulateYieldVols ( bool simulate )

Definition at line 540 of file scenariosimmarketparameters.cpp.

                                                                    {
    setParamsSimulate(RiskFactorKey::KeyType::YieldVolatility, simulate);
}

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◆ yieldVolTerms() [2/2]

vector< Period > & yieldVolTerms ( )

Definition at line 267 of file scenariosimmarketparameters.hpp.

267{ return yieldVolTerms_; }

◆ setYieldVolNames()

void setYieldVolNames ( vector< string > names )

Definition at line 442 of file scenariosimmarketparameters.cpp.

                                                                       {
    addParamsName(RiskFactorKey::KeyType::YieldVolatility, names);
}

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◆ yieldVolExpiries() [2/2]

vector< Period > & yieldVolExpiries ( )

Definition at line 269 of file scenariosimmarketparameters.hpp.

269{ return yieldVolExpiries_; }

◆ yieldVolDecayMode() [2/2]

string & yieldVolDecayMode ( )

Definition at line 270 of file scenariosimmarketparameters.hpp.

270{ return yieldVolDecayMode_; }

◆ setYieldVolSmileDynamics()

void setYieldVolSmileDynamics	(	const string &	key,
		const string &	smileDynamics
	)

Definition at line 315 of file scenariosimmarketparameters.cpp.

                                                                                                         {
    yieldVolSmileDynamics_[key] = smileDynamics;
}

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◆ setSimulateCapFloorVols()

void setSimulateCapFloorVols ( bool simulate )

Definition at line 544 of file scenariosimmarketparameters.cpp.

                                                                       {
    setParamsSimulate(RiskFactorKey::KeyType::OptionletVolatility, simulate);
}

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◆ setCapFloorVolKeys()

void setCapFloorVolKeys ( vector< string > names )

Definition at line 446 of file scenariosimmarketparameters.cpp.

                                                                         {
    addParamsName(RiskFactorKey::KeyType::OptionletVolatility, names);
}

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◆ setCapFloorVolExpiries()

void setCapFloorVolExpiries	(	const string &	key,
		const vector< Period > &	p
	)

Definition at line 350 of file scenariosimmarketparameters.cpp.

                                                                                                      {
    capFloorVolExpiries_[key] = p;
}

◆ setCapFloorVolStrikes()

void setCapFloorVolStrikes	(	const std::string &	key,
		const std::vector< QuantLib::Rate > &	strikes
	)

Definition at line 354 of file scenariosimmarketparameters.cpp.

                                                                                                      {
    // An empty vector of strikes signifies ATM
    capFloorVolIsAtm_[key] = strikes.empty();
    capFloorVolStrikes_[key] = strikes;
}

◆ setCapFloorVolIsAtm()

void setCapFloorVolIsAtm	(	const std::string &	key,
		bool	isAtm
	)

Definition at line 360 of file scenariosimmarketparameters.cpp.

                                                                                   {
    capFloorVolIsAtm_[key] = isAtm;
    if (isAtm) {
        // An empty vector of strikes signifies ATM. If isAtm is false, user is expected to have
        // provided the strikes by calling setCapFloorVolStrikes.
        capFloorVolStrikes_[key] = vector<Rate>();
    }
}

◆ capFloorVolDecayMode() [2/2]

string & capFloorVolDecayMode ( )

Definition at line 278 of file scenariosimmarketparameters.hpp.

278{ return capFloorVolDecayMode_; }

◆ setCapFloorVolAdjustOptionletPillars()

void setCapFloorVolAdjustOptionletPillars ( bool capFloorVolAdjustOptionletPillars )

Definition at line 279 of file scenariosimmarketparameters.hpp.

                                                                                      {
        capFloorVolAdjustOptionletPillars_ = capFloorVolAdjustOptionletPillars;
    }

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◆ setCapFloorVolUseCapAtm()

void setCapFloorVolUseCapAtm ( bool capFloorVolUseCapAtm )

Definition at line 282 of file scenariosimmarketparameters.hpp.

                                                            {
        capFloorVolUseCapAtm_ = capFloorVolUseCapAtm;
    }

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◆ setCapFloorVolSmileDynamics()

void setCapFloorVolSmileDynamics	(	const string &	key,
		const string &	smileDynamics
	)

Definition at line 312 of file scenariosimmarketparameters.cpp.

                                                                                                            {
    capFloorVolSmileDynamics_[key] = smileDynamics;
}

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◆ setSimulateYoYInflationCapFloorVols()

void setSimulateYoYInflationCapFloorVols ( bool simulate )

Definition at line 548 of file scenariosimmarketparameters.cpp.

                                                                                   {
    setParamsSimulate(RiskFactorKey::KeyType::YoYInflationCapFloorVolatility, simulate);
}

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◆ setYoYInflationCapFloorVolNames()

void setYoYInflationCapFloorVolNames ( vector< string > names )

Definition at line 450 of file scenariosimmarketparameters.cpp.

                                                                                      {
    addParamsName(RiskFactorKey::KeyType::YoYInflationCapFloorVolatility, names);
}

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◆ setYoYInflationCapFloorVolExpiries()

void setYoYInflationCapFloorVolExpiries	(	const string &	key,
		const vector< Period > &	p
	)

Definition at line 552 of file scenariosimmarketparameters.cpp.

                                                                                                               {
    yoyInflationCapFloorVolExpiries_[key] = p;
}

◆ setYoYInflationCapFloorVolStrikes()

void setYoYInflationCapFloorVolStrikes	(	const std::string &	key,
		const std::vector< QuantLib::Rate > &	strikes
	)

Definition at line 556 of file scenariosimmarketparameters.cpp.

                                                                                                                  {
    yoyInflationCapFloorVolStrikes_[key] = strikes;
}

◆ yoyInflationCapFloorVolDecayMode() [2/2]

string & yoyInflationCapFloorVolDecayMode ( )

Definition at line 291 of file scenariosimmarketparameters.hpp.

291{ return yoyInflationCapFloorVolDecayMode_; }

◆ setYoYInflationCapFloorVolSmileDynamics()

void setYoYInflationCapFloorVolSmileDynamics	(	const string &	key,
		const string &	smileDynamics
	)

Definition at line 322 of file scenariosimmarketparameters.cpp.

                                                                                                       {
    yoyInflationCapFloorVolSmileDynamics_[key] = smileDynamics;
}

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◆ setSimulateZeroInflationCapFloorVols()

void setSimulateZeroInflationCapFloorVols ( bool simulate )

Definition at line 560 of file scenariosimmarketparameters.cpp.

                                                                                    {
    setParamsSimulate(RiskFactorKey::KeyType::ZeroInflationCapFloorVolatility, simulate);
}

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◆ setZeroInflationCapFloorNames()

void setZeroInflationCapFloorNames ( vector< string > names )

Definition at line 454 of file scenariosimmarketparameters.cpp.

                                                                                    {
    addParamsName(RiskFactorKey::KeyType::ZeroInflationCapFloorVolatility, names);
}

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◆ setZeroInflationCapFloorVolExpiries()

void setZeroInflationCapFloorVolExpiries	(	const string &	key,
		const vector< Period > &	p
	)

Definition at line 458 of file scenariosimmarketparameters.cpp.

                                                                                                                   {
    zeroInflationCapFloorVolExpiries_[key] = p;
}

◆ setZeroInflationCapFloorVolStrikes()

void setZeroInflationCapFloorVolStrikes	(	const std::string &	key,
		const std::vector< QuantLib::Rate > &	strikes
	)

Definition at line 462 of file scenariosimmarketparameters.cpp.

                                                                                                                   {
    zeroInflationCapFloorVolStrikes_[key] = strikes;
}

◆ zeroInflationCapFloorVolDecayMode() [2/2]

string & zeroInflationCapFloorVolDecayMode ( )

Definition at line 298 of file scenariosimmarketparameters.hpp.

298{ return zeroInflationCapFloorVolDecayMode_; }

◆ setZeroInflationCapFloorVolSmileDynamics()

void setZeroInflationCapFloorVolSmileDynamics	(	const string &	key,
		const string &	smileDynamics
	)

Definition at line 318 of file scenariosimmarketparameters.cpp.

                                                                                                        {
    zeroInflationCapFloorVolSmileDynamics_[key] = smileDynamics;
}

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◆ setSimulateSurvivalProbabilities()

void setSimulateSurvivalProbabilities ( bool simulate )

Definition at line 564 of file scenariosimmarketparameters.cpp.

                                                                                {
    setParamsSimulate(RiskFactorKey::KeyType::SurvivalProbability, simulate);
}

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◆ setSimulateRecoveryRates()

void setSimulateRecoveryRates ( bool simulate )

Definition at line 568 of file scenariosimmarketparameters.cpp.

                                                                        {
    setParamsSimulate(RiskFactorKey::KeyType::RecoveryRate, simulate);
}

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◆ setDefaultNames()

void setDefaultNames ( vector< string > names )

Definition at line 466 of file scenariosimmarketparameters.cpp.

                                                                      {
    addParamsName(RiskFactorKey::KeyType::SurvivalProbability, names);
    setRecoveryRates(names);
}

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◆ setDefaultTenors()

void setDefaultTenors	(	const string &	key,
		const vector< Period > &	p
	)

Definition at line 369 of file scenariosimmarketparameters.cpp.

                                                                                                {
    defaultTenors_[key] = p;
}

◆ setDefaultCurveCalendars()

void setDefaultCurveCalendars	(	const string &	key,
		const string &	p
	)

Definition at line 373 of file scenariosimmarketparameters.cpp.

                                                                                             {
    defaultCurveCalendars_[key] = s;
}

◆ setDefaultCurveExtrapolation()

void setDefaultCurveExtrapolation ( const std::string & e )

Definition at line 306 of file scenariosimmarketparameters.hpp.

306{ defaultCurveExtrapolation_ = e; }

◆ setSimulateCdsVols()

void setSimulateCdsVols ( bool simulate )

Definition at line 572 of file scenariosimmarketparameters.cpp.

                                                                  {
    setParamsSimulate(RiskFactorKey::KeyType::CDSVolatility, simulate);
}

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◆ setSimulateCdsVolsATMOnly()

void setSimulateCdsVolsATMOnly ( bool simulateATMOnly )

Definition at line 309 of file scenariosimmarketparameters.hpp.

309{ cdsVolSimulateATMOnly_ = simulateATMOnly; }

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◆ cdsVolExpiries() [2/2]

vector< Period > & cdsVolExpiries ( )

Definition at line 310 of file scenariosimmarketparameters.hpp.

310{ return cdsVolExpiries_; }

◆ setCdsVolNames()

void setCdsVolNames ( vector< string > names )

Definition at line 471 of file scenariosimmarketparameters.cpp.

                                                                     {
    addParamsName(RiskFactorKey::KeyType::CDSVolatility, names);
}

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◆ cdsVolDecayMode() [2/2]

string & cdsVolDecayMode ( )

Definition at line 312 of file scenariosimmarketparameters.hpp.

312{ return cdsVolDecayMode_; }

◆ setCdsVolSmileDynamics()

void setCdsVolSmileDynamics	(	const string &	key,
		const string &	smileDynamics
	)

Definition at line 309 of file scenariosimmarketparameters.cpp.

                                                                                                       {
    cdsVolSmileDynamics_[key] = smileDynamics;
}

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◆ setEquityNames()

void setEquityNames ( vector< string > names )

Definition at line 475 of file scenariosimmarketparameters.cpp.

                                                                     {
    addParamsName(RiskFactorKey::KeyType::EquitySpot, names);
    setEquityDividendCurves(names);
}

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◆ setEquityDividendCurves()

void setEquityDividendCurves ( vector< string > names )

Definition at line 480 of file scenariosimmarketparameters.cpp.

                                                                              {
    addParamsName(RiskFactorKey::KeyType::DividendYield, names);
}

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◆ setEquityDividendTenors()

void setEquityDividendTenors	(	const string &	key,
		const vector< Period > &	p
	)

Definition at line 377 of file scenariosimmarketparameters.cpp.

                                                                                                       {
    equityDividendTenors_[key] = p;
}

◆ setSimulateDividendYield()

void setSimulateDividendYield ( bool simulate )

Definition at line 532 of file scenariosimmarketparameters.cpp.

                                                                        {
    setParamsSimulate(RiskFactorKey::KeyType::DividendYield, simulate);
}

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◆ setSimulateFXVols()

void setSimulateFXVols ( bool simulate )

Definition at line 576 of file scenariosimmarketparameters.cpp.

                                                                 {
    setParamsSimulate(RiskFactorKey::KeyType::FXVolatility, simulate);
}

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◆ setSimulateFxVolATMOnly()

void setSimulateFxVolATMOnly ( bool simulateATMOnly )

Definition at line 322 of file scenariosimmarketparameters.hpp.

322{ fxVolSimulateATMOnly_ = simulateATMOnly; }

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◆ setFxVolIsSurface() [1/2]

void setFxVolIsSurface	(	const string &	ccypair,
		bool	val
	)

Definition at line 393 of file scenariosimmarketparameters.cpp.

393{ fxVolIsSurface_[key] = val; }

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◆ setFxVolIsSurface() [2/2]

void setFxVolIsSurface ( bool val )

Definition at line 395 of file scenariosimmarketparameters.cpp.

395{ fxVolIsSurface_[""] = val; }

◆ setFxVolExpiries()

void setFxVolExpiries	(	const string &	name,
		const vector< Period > &	expiries
	)

Definition at line 397 of file scenariosimmarketparameters.cpp.

                                                                                                    {
    fxVolExpiries_[key] = expiries;
}

◆ setFxVolDecayMode()

void setFxVolDecayMode ( const string & val )

Definition at line 401 of file scenariosimmarketparameters.cpp.

401{ fxVolDecayMode_ = val; }

◆ setFxVolCcyPairs()

void setFxVolCcyPairs ( vector< string > names )

Definition at line 484 of file scenariosimmarketparameters.cpp.

                                                                       {
    addParamsName(RiskFactorKey::KeyType::FXVolatility, names);
}

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◆ setFxVolMoneyness() [1/2]

void setFxVolMoneyness	(	const string &	ccypair,
		const vector< Real > &	moneyness
	)

Definition at line 403 of file scenariosimmarketparameters.cpp.

                                                                                                        {
    fxMoneyness_[ccypair] = moneyness;
}

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◆ setFxVolMoneyness() [2/2]

void setFxVolMoneyness ( const vector< Real > & moneyness )

Definition at line 407 of file scenariosimmarketparameters.cpp.

407{ fxMoneyness_[""] = moneyness; }

◆ setFxVolStdDevs() [1/2]

void setFxVolStdDevs	(	const string &	ccypair,
		const vector< Real > &	stdDevs
	)

Definition at line 409 of file scenariosimmarketparameters.cpp.

                                                                                                      {
    fxStandardDevs_[ccypair] = moneyness;
}

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◆ setFxVolStdDevs() [2/2]

void setFxVolStdDevs ( const vector< Real > & stdDevs )

Definition at line 413 of file scenariosimmarketparameters.cpp.

413{ fxStandardDevs_[""] = moneyness; }

◆ setFxVolSmileDynamics()

void setFxVolSmileDynamics	(	const string &	name,
		const string &	smileDynamics
	)

Definition at line 329 of file scenariosimmarketparameters.cpp.

                                                                                                      {
    fxVolSmileDynamics_[key] = smileDynamics;
}

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◆ setSimulateEquityVols()

void setSimulateEquityVols ( bool simulate )

Definition at line 580 of file scenariosimmarketparameters.cpp.

                                                                     {
    setParamsSimulate(RiskFactorKey::KeyType::EquityVolatility, simulate);
}

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◆ setSimulateEquityVolATMOnly()

void setSimulateEquityVolATMOnly ( bool simulateATMOnly )

Definition at line 335 of file scenariosimmarketparameters.hpp.

335{ equityVolSimulateATMOnly_ = simulateATMOnly; }

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◆ setEquityVolIsSurface()

void setEquityVolIsSurface	(	const string &	name,
		bool	isSurface
	)

Definition at line 612 of file scenariosimmarketparameters.cpp.

                                                                                          {
    equityVolIsSurface_[name] = isSurface;
}

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◆ setEquityVolExpiries()

void setEquityVolExpiries	(	const string &	name,
		const vector< Period > &	expiries
	)

Definition at line 616 of file scenariosimmarketparameters.cpp.

                                                                                                         {
    equityVolExpiries_[name] = expiries;
}

◆ setEquityVolDecayMode()

void setEquityVolDecayMode ( const string & val )

Definition at line 338 of file scenariosimmarketparameters.hpp.

338{ equityVolDecayMode_ = val; }

◆ setEquityVolNames()

void setEquityVolNames ( vector< string > names )

Definition at line 488 of file scenariosimmarketparameters.cpp.

                                                                        {
    addParamsName(RiskFactorKey::KeyType::EquityVolatility, names);
}

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◆ setEquityVolMoneyness()

void setEquityVolMoneyness	(	const string &	name,
		const vector< Real > &	moneyness
	)

Definition at line 620 of file scenariosimmarketparameters.cpp.

                                                                                                        {
    equityMoneyness_[name] = moneyness;
}

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◆ setEquityVolStandardDevs()

void setEquityVolStandardDevs	(	const string &	name,
		const vector< Real > &	standardDevs
	)

Definition at line 624 of file scenariosimmarketparameters.cpp.

                                                                                                              {
    equityStandardDevs_[name] = standardDevs;
}

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◆ setEquityVolSmileDynamics()

void setEquityVolSmileDynamics	(	const string &	name,
		const string &	smileDynamics
	)

Definition at line 326 of file scenariosimmarketparameters.cpp.

                                                                                                          {
    equityVolSmileDynamics_[key] = smileDynamics;
}

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◆ additionalScenarioDataIndices() [2/2]

vector< string > & additionalScenarioDataIndices ( )

Definition at line 344 of file scenariosimmarketparameters.hpp.

344{ return additionalScenarioDataIndices_; }

◆ setAdditionalScenarioDataIndices()

void setAdditionalScenarioDataIndices ( const vector< string > & asdi )

Definition at line 345 of file scenariosimmarketparameters.hpp.

345{ additionalScenarioDataIndices_ = asdi; }

◆ additionalScenarioDataCcys() [2/2]

vector< string > & additionalScenarioDataCcys ( )

Definition at line 346 of file scenariosimmarketparameters.hpp.

346{ return additionalScenarioDataCcys_; }

◆ setAdditionalScenarioDataCcys()

void setAdditionalScenarioDataCcys ( const vector< string > & ccys )

Definition at line 347 of file scenariosimmarketparameters.hpp.

347{ additionalScenarioDataCcys_ = ccys; }

ore::analytics::ScenarioSimMarketParameters::ccys

const vector< string > & ccys() const

Definition: scenariosimmarketparameters.hpp:60

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◆ setSecuritySpreadsSimulate()

void setSecuritySpreadsSimulate ( bool simulate )

Definition at line 596 of file scenariosimmarketparameters.cpp.

                                                                          {
    setParamsSimulate(RiskFactorKey::KeyType::SecuritySpread, simulate);
}

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◆ setSecurities()

void setSecurities ( vector< string > names )

Definition at line 492 of file scenariosimmarketparameters.cpp.

                                                                    {
    addParamsName(RiskFactorKey::KeyType::SecuritySpread, names);
}

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◆ setRecoveryRates()

void setRecoveryRates ( vector< string > names )

Definition at line 496 of file scenariosimmarketparameters.cpp.

                                                                       {
    addParamsName(RiskFactorKey::KeyType::RecoveryRate, names);
}

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◆ setCprs()

void setCprs ( const vector< string > & names )

Definition at line 528 of file scenariosimmarketparameters.cpp.

                                                                     {
    addParamsName(RiskFactorKey::KeyType::CPR, names);
}

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◆ setSimulateCprs()

void setSimulateCprs ( bool simulate )

Definition at line 608 of file scenariosimmarketparameters.cpp.

                                                               {
    setParamsSimulate(RiskFactorKey::KeyType::CPR, simulate);
}

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◆ simulateCprs()

bool simulateCprs ( ) const

Definition at line 354 of file scenariosimmarketparameters.hpp.

354{ return paramsSimulate(RiskFactorKey::KeyType::CPR); }

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◆ cprs()

const vector< string > & cprs ( ) const

Definition at line 355 of file scenariosimmarketparameters.hpp.

355{ return cprs_; }

ore::analytics::ScenarioSimMarketParameters::cprs_

vector< string > cprs_

Definition: scenariosimmarketparameters.hpp:485

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◆ setSimulateBaseCorrelations()

void setSimulateBaseCorrelations ( bool simulate )

Definition at line 584 of file scenariosimmarketparameters.cpp.

                                                                           {
    setParamsSimulate(RiskFactorKey::KeyType::BaseCorrelation, simulate);
}

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◆ baseCorrelationTerms() [2/2]

vector< Period > & baseCorrelationTerms ( )

Definition at line 358 of file scenariosimmarketparameters.hpp.

358{ return baseCorrelationTerms_; }

◆ baseCorrelationDetachmentPoints() [2/2]

vector< Real > & baseCorrelationDetachmentPoints ( )

Definition at line 359 of file scenariosimmarketparameters.hpp.

359{ return baseCorrelationDetachmentPoints_; }

◆ setBaseCorrelationNames()

void setBaseCorrelationNames ( vector< string > names )

Definition at line 500 of file scenariosimmarketparameters.cpp.

                                                                              {
    addParamsName(RiskFactorKey::KeyType::BaseCorrelation, names);
}

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◆ setCpiIndices()

void setCpiIndices ( vector< string > names )

Definition at line 504 of file scenariosimmarketparameters.cpp.

                                                                    {
    addParamsName(RiskFactorKey::KeyType::CPIIndex, names);
}

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◆ setZeroInflationIndices()

void setZeroInflationIndices ( vector< string > names )

Definition at line 508 of file scenariosimmarketparameters.cpp.

                                                                              {
    addParamsName(RiskFactorKey::KeyType::ZeroInflationCurve, names);
}

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◆ setZeroInflationTenors()

void setZeroInflationTenors	(	const string &	key,
		const vector< Period > &	p
	)

Definition at line 381 of file scenariosimmarketparameters.cpp.

                                                                                                      {
    zeroInflationTenors_[key] = p;
}

◆ setYoyInflationIndices()

void setYoyInflationIndices ( vector< string > names )

Definition at line 512 of file scenariosimmarketparameters.cpp.

                                                                             {
    addParamsName(RiskFactorKey::KeyType::YoYInflationCurve, names);
}

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◆ setYoyInflationTenors()

void setYoyInflationTenors	(	const string &	key,
		const vector< Period > &	p
	)

Definition at line 385 of file scenariosimmarketparameters.cpp.

                                                                                                     {
    yoyInflationTenors_[key] = p;
}

◆ setCommodityCurveSimulate()

void setCommodityCurveSimulate ( bool simulate )

Definition at line 588 of file scenariosimmarketparameters.cpp.

                                                                         {
    setParamsSimulate(RiskFactorKey::KeyType::CommodityCurve, simulate);
}

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◆ setCommodityNames()

void setCommodityNames ( vector< string > names )

Definition at line 415 of file scenariosimmarketparameters.cpp.

415{ setCommodityCurves(names); }

ore::analytics::ScenarioSimMarketParameters::setCommodityCurves

void setCommodityCurves(vector< string > names)

Definition: scenariosimmarketparameters.cpp:520

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◆ setCommodityCurves()

void setCommodityCurves ( vector< string > names )

Definition at line 520 of file scenariosimmarketparameters.cpp.

                                                                         {
    addParamsName(RiskFactorKey::KeyType::CommodityCurve, names);
}

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◆ setCommodityCurveTenors()

void setCommodityCurveTenors	(	const std::string &	commodityName,
		const std::vector< QuantLib::Period > &	p
	)

Definition at line 417 of file scenariosimmarketparameters.cpp.

                                                                                                              {
    commodityCurveTenors_[commodityName] = p;
}

◆ setCommodityVolSimulate()

void setCommodityVolSimulate ( bool simulate )

Definition at line 592 of file scenariosimmarketparameters.cpp.

                                                                       {
    setParamsSimulate(RiskFactorKey::KeyType::CommodityVolatility, simulate);
}

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◆ commodityVolDecayMode() [2/2]

std::string & commodityVolDecayMode ( )

Definition at line 376 of file scenariosimmarketparameters.hpp.

376{ return commodityVolDecayMode_; }

◆ setCommodityVolNames()

void setCommodityVolNames ( vector< string > names )

Definition at line 516 of file scenariosimmarketparameters.cpp.

                                                                           {
    addParamsName(RiskFactorKey::KeyType::CommodityVolatility, names);
}

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◆ commodityVolExpiries() [2/2]

std::vector< QuantLib::Period > & commodityVolExpiries ( const std::string & commodityName )

Definition at line 378 of file scenariosimmarketparameters.hpp.

                                                                                    {
        return commodityVolExpiries_[commodityName];
    }

◆ commodityVolMoneyness() [2/2]

std::vector< QuantLib::Real > & commodityVolMoneyness ( const std::string & commodityName )

Definition at line 381 of file scenariosimmarketparameters.hpp.

                                                                                   {
        return commodityVolMoneyness_[commodityName];
    }

◆ setCommodityVolSmileDynamics()

void setCommodityVolSmileDynamics	(	const string &	key,
		const string &	smileDynamics
	)

Definition at line 332 of file scenariosimmarketparameters.cpp.

                                                                                                             {
    commodityVolSmileDynamics_[key] = smileDynamics;
}

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◆ setSimulateCorrelations()

void setSimulateCorrelations ( bool simulate )

Definition at line 604 of file scenariosimmarketparameters.cpp.

                                                                       {
    setParamsSimulate(RiskFactorKey::KeyType::Correlation, simulate);
}

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◆ correlationIsSurface() [2/2]

bool & correlationIsSurface ( )

Definition at line 387 of file scenariosimmarketparameters.hpp.

387{ return correlationIsSurface_; }

◆ correlationExpiries() [2/2]

vector< Period > & correlationExpiries ( )

Definition at line 388 of file scenariosimmarketparameters.hpp.

388{ return correlationExpiries_; }

◆ setCorrelationPairs()

void setCorrelationPairs ( vector< string > names )

Definition at line 524 of file scenariosimmarketparameters.cpp.

                                                                          {
    addParamsName(RiskFactorKey::KeyType::Correlation, names);
}

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◆ correlationStrikes() [2/2]

vector< Real > & correlationStrikes ( )

Definition at line 390 of file scenariosimmarketparameters.hpp.

390{ return correlationStrikes_; }

◆ setNumberOfCreditStates()

void setNumberOfCreditStates ( Size numberOfCreditStates )

Definition at line 391 of file scenariosimmarketparameters.hpp.

391{ numberOfCreditStates_ = numberOfCreditStates; }

ore::analytics::ScenarioSimMarketParameters::numberOfCreditStates

Size numberOfCreditStates() const

Definition: scenariosimmarketparameters.hpp:232

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◆ fromXML()

void fromXML ( XMLNode * node )

overridevirtual

Implements XMLSerializable.

Definition at line 696 of file scenariosimmarketparameters.cpp.

                                                       {
 
    // fromXML always uses a "clean" object
    reset();
 
    DLOG("ScenarioSimMarketParameters::fromXML()");
 
    XMLNode* sim = XMLUtils::locateNode(root, "Simulation");
    XMLNode* node = XMLUtils::getChildNode(sim, "Market");
    XMLUtils::checkNode(node, "Market");
 
    // TODO: add in checks (checkNode or QL_REQUIRE) on mandatory nodes
    DLOG("Loading Currencies");
    baseCcy_ = XMLUtils::getChildValue(node, "BaseCurrency");
    setDiscountCurveNames(XMLUtils::getChildrenValues(node, "Currencies", "Currency"));
 
    DLOG("Loading BenchmarkCurve");
    XMLNode* nodeChild = XMLUtils::getChildNode(node, "BenchmarkCurves");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        vector<string> yields;
        for (XMLNode* n = XMLUtils::getChildNode(nodeChild, "BenchmarkCurve"); n != nullptr;
             n = XMLUtils::getNextSibling(n, "BenchmarkCurve")) {
            yields.push_back(XMLUtils::getChildValue(n, "Name", true));
            yieldCurveCurrencies_[XMLUtils::getChildValue(n, "Name", true)] =
                XMLUtils::getChildValue(n, "Currency", true);
        }
        setYieldCurveNames(yields);
    }
 
    DLOG("Loading YieldCurves");
    nodeChild = XMLUtils::getChildNode(node, "YieldCurves");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        for (XMLNode* child = XMLUtils::getChildNode(nodeChild, "Configuration"); child;
             child = XMLUtils::getNextSibling(child)) {
 
            // If there is no attribute "curve", this returns "" i.e. the default
            string label = XMLUtils::getAttribute(child, "curve");
            if (label == "") {
                yieldCurveTenors_[label] = XMLUtils::getChildrenValuesAsPeriods(child, "Tenors", true);
                if (auto n = XMLUtils::getChildNode(child, "Interpolation")) {
                    interpolation_ = XMLUtils::getNodeValue(n);
                }
                if (auto n = XMLUtils::getChildNode(child, "Extrapolation")) {
                    extrapolation_ = XMLUtils::getNodeValue(n);
                }
                // for backwards compatibility, map an extrapolation value that parses to bool to FlatFwd
                bool dummy;
                if (tryParse<bool>(extrapolation_, dummy, &parseBool)) {
                    WLOG("ScenarioSimMarket parameter Extrapolation should be FlatFwd or FlatZero, mapping deprecated "
                         "boolean '"
                         << extrapolation_ << "' to FlatFwd. Please change this in your configuration.");
                    extrapolation_ = "FlatFwd";
                }
            } else {
                if (XMLUtils::getChildNode(child, "Interpolation")) {
                    WLOG("Only one default interpolation value is allowed for yield curves");
                }
                if (XMLUtils::getChildNode(child, "Extrapolation")) {
                    WLOG("Only one default extrapolation value is allowed for yield curves");
                }
                if (XMLUtils::getChildNode(child, "Tenors")) {
                    yieldCurveTenors_[label] = XMLUtils::getChildrenValuesAsPeriods(child, "Tenors", true);
                }
            }
        }
    }
 
    DLOG("Loading Libor indices");
    setIndices(XMLUtils::getChildrenValues(node, "Indices", "Index"));
 
    DLOG("Loading swap indices");
    nodeChild = XMLUtils::getChildNode(node, "SwapIndices");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        for (XMLNode* n = XMLUtils::getChildNode(nodeChild, "SwapIndex"); n != nullptr;
             n = XMLUtils::getNextSibling(n, "SwapIndex")) {
            string name = XMLUtils::getChildValue(n, "Name");
            string disc = XMLUtils::getChildValue(n, "DiscountingIndex");
            swapIndices_[name] = disc;
        }
    }
 
    DLOG("Loading FX Rates");
    nodeChild = XMLUtils::getChildNode(node, "FxRates");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        XMLNode* fxSpotSimNode = XMLUtils::getChildNode(nodeChild, "Simulate");
        if (fxSpotSimNode)
            setSimulateFxSpots(ore::data::parseBool(XMLUtils::getNodeValue(fxSpotSimNode)));
        // if currency pairs are specified load these, otherwise infer from currencies list and base currency
        XMLNode* ccyPairsNode = XMLUtils::getChildNode(nodeChild, "CurrencyPairs");
        if (ccyPairsNode) {
            setFxCcyPairs(XMLUtils::getChildrenValues(nodeChild, "CurrencyPairs", "CurrencyPair", true));
        } else {
            vector<string> ccys;
            for (auto ccy : ccys_) {
                if (ccy != baseCcy_)
                    ccys.push_back(ccy + baseCcy_);
            }
            setFxCcyPairs(ccys);
        }
    } else {
        // spot simulation turned on by default
        setSimulateFxSpots(true);
        vector<string> ccys;
        for (auto ccy : ccys_) {
            if (ccy != baseCcy_)
                ccys.push_back(ccy + baseCcy_);
        }
        setFxCcyPairs(ccys);
    }
 
    DLOG("Loading SwaptionVolatilities");
    nodeChild = XMLUtils::getChildNode(node, "SwaptionVolatilities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        XMLNode* swapVolSimNode = XMLUtils::getChildNode(nodeChild, "Simulate");
        if (swapVolSimNode)
            setSimulateSwapVols(ore::data::parseBool(XMLUtils::getNodeValue(swapVolSimNode)));
        swapVolDecayMode_ = XMLUtils::getChildValue(nodeChild, "ReactionToTimeDecay");
 
    auto ccys = XMLUtils::getChildrenValues(nodeChild, "Currencies", "Currency", false);
    auto keys = XMLUtils::getChildrenValues(nodeChild, "Keys", "Key", false);
    if(!ccys.empty()) {
        keys.insert(keys.end(), ccys.begin(), ccys.end());
            WLOG("ScenarioSimMarketParameters: SwaptionVolatilities/Currencies is deprecated, use Keys instead.");
        }
        setSwapVolKeys(keys);
        QL_REQUIRE(!keys.empty(), "SwaptionVolatilities needs at least one currency");
 
        // Get the configured expiries. They are of the form:
        // - <Expiries ccy="CCY">t_1,...,t_n</Expiries> for currency specific expiries
        // - <Expiries>t_1,...,t_n</Expiries> or <Expiries ccy="">t_1,...,t_n</Expiries> for default set of expiries
        // Only need a default expiry set if every currency has not been given an expiry set explicitly
        vector<XMLNode*> expiryNodes = XMLUtils::getChildrenNodes(nodeChild, "Expiries");
        QL_REQUIRE(!expiryNodes.empty(), "SwaptionVolatilities needs at least one Expiries node");
        set<string> keysCheck(keys.begin(),keys.end());
        bool defaultProvided = false;
        for (XMLNode* expiryNode : expiryNodes) {
            // If there is no "key" attribute, getAttribute returns "" which is what we want in any case
            string key = XMLUtils::getAttribute(expiryNode, "key");
            if (key.empty()) {
                string ccyAttr = XMLUtils::getAttribute(expiryNode, "ccy");
                if (!ccyAttr.empty()) {
                    key = ccyAttr;
                    WLOG("ScenarioSimMarketParameters: SwaptionVolatilities/Expiries: 'ccy' attribute is deprecated, "
                         "use 'key' instead.");
                }
            }
            vector<Period> expiries = parseListOfValues<Period>(XMLUtils::getNodeValue(expiryNode), &parsePeriod);
            QL_REQUIRE(swapVolExpiries_.insert(make_pair(key, expiries)).second,
                       "SwaptionVolatilities has duplicate expiries for key '" << key << "'");
            keysCheck.erase(key);
            defaultProvided = defaultProvided || key.empty();
        }
        QL_REQUIRE(defaultProvided || keysCheck.empty(), "SwaptionVolatilities has no expiries for "
                                                                 << "keys '" << join(keysCheck, ",")
                                                                 << "' and no default expiry set has been given");
 
        // Get the configured terms, similar to expiries above
        vector<XMLNode*> termNodes = XMLUtils::getChildrenNodes(nodeChild, "Terms");
        keysCheck = set<string>(keys.begin(), keys.end());
        defaultProvided = false;
        for (XMLNode* termNode : termNodes) {
            // If there is no "key" attribute, getAttribute returns "" which is what we want in any case
            string key = XMLUtils::getAttribute(termNode, "key");
            if (key.empty()) {
                string ccyAttr = XMLUtils::getAttribute(termNode, "ccy");
                if (!ccyAttr.empty()) {
                    key = ccyAttr;
                    WLOG("ScenarioSimMarketParameters: SwaptionVolatilities/Terms: 'ccy' attribute is deprecated, "
                         "use 'key' instead.");
                }
            }
            vector<Period> terms = parseListOfValues<Period>(XMLUtils::getNodeValue(termNode), &parsePeriod);
            QL_REQUIRE(swapVolTerms_.insert(make_pair(key, terms)).second,
                       "SwaptionVolatilities has duplicate terms for key '" << key << "'");
            keysCheck.erase(key);
            defaultProvided = defaultProvided || key.empty();
        }
        QL_REQUIRE(defaultProvided || keysCheck.empty(), "SwaptionVolatilities has no terms for "
                                                             << "keys '" << join(keysCheck, ",")
                                                             << "' and no default term set has been given");
 
        // Get smile dynamics
        vector<XMLNode*> smileDynamicsNodes = XMLUtils::getChildrenNodes(nodeChild, "SmileDynamics");
        for (XMLNode* smileDynamicsNode : smileDynamicsNodes) {
            string key = XMLUtils::getAttribute(smileDynamicsNode, "key");
            swapVolSmileDynamics_.insert(make_pair(key, XMLUtils::getNodeValue(smileDynamicsNode)));
        }
 
        XMLNode* atmOnlyNode = XMLUtils::getChildNode(nodeChild, "SimulateATMOnly");
        if (atmOnlyNode)
            swapVolSimulateATMOnly_ = XMLUtils::getChildValueAsBool(nodeChild, "SimulateATMOnly", true);
 
        if (!swapVolSimulateATMOnly_) {
            vector<XMLNode*> spreadNodes = XMLUtils::getChildrenNodes(nodeChild, "StrikeSpreads");
            if (spreadNodes.size() > 0) {
                keysCheck = set<string>(keys.begin(), keys.end());
                defaultProvided = false;
                for (XMLNode* spreadNode : spreadNodes) {
                    // If there is no "ccy" attribute, getAttribute returns "" which is what we want in any case
                    string key = XMLUtils::getAttribute(spreadNode, "key");
                    if (key.empty()) {
                        string ccyAttr = XMLUtils::getAttribute(spreadNode, "ccy");
                        if (!ccyAttr.empty()) {
                            key = ccyAttr;
                            ALOG("ScenarioSimMarketParameters: SwaptionVolatilities/StrikeSpreads: 'ccy' attribute is "
                                 "deprecated, use 'key' instead.");
                        }
                    }
                    vector<Rate> strikes;
                    string strStrike = XMLUtils::getNodeValue(spreadNode);
                    if (strStrike == "ATM" || strStrike == "0" || strStrike == "0.0") {
                        // Add a '0' to the strike spreads
                        strikes = {0.0};
                    } else {
                        strikes = parseListOfValues<Rate>(strStrike, &parseReal);
                    }
                    setSwapVolStrikeSpreads(key, strikes);
                    keysCheck.erase(key);
                    defaultProvided = defaultProvided || key.empty();
                }
                QL_REQUIRE(defaultProvided || keysCheck.empty(),
                           "SwaptionVolatilities has no strike spreads for "
                               << "currencies '" << join(keysCheck, ",")
                               << "' and no default strike spreads set has been given");
            }
        }
    }
 
    DLOG("Loading YieldVolatilities");
    nodeChild = XMLUtils::getChildNode(node, "YieldVolatilities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        XMLNode* yieldVolSimNode = XMLUtils::getChildNode(nodeChild, "Simulate");
        if (yieldVolSimNode) {
            setSimulateYieldVols(ore::data::parseBool(XMLUtils::getNodeValue(yieldVolSimNode)));
            yieldVolTerms_ = XMLUtils::getChildrenValuesAsPeriods(nodeChild, "Terms", true);
            yieldVolExpiries_ = XMLUtils::getChildrenValuesAsPeriods(nodeChild, "Expiries", true);
            setYieldVolNames(XMLUtils::getChildrenValues(nodeChild, "Names", "Name", true));
            yieldVolDecayMode_ = XMLUtils::getChildValue(nodeChild, "ReactionToTimeDecay");
        }
        // Get smile dynamics
        vector<XMLNode*> smileDynamicsNodes = XMLUtils::getChildrenNodes(nodeChild, "SmileDynamics");
        for (XMLNode* smileDynamicsNode : smileDynamicsNodes) {
            string key = XMLUtils::getAttribute(smileDynamicsNode, "key");
            yieldVolSmileDynamics_.insert(make_pair(key, XMLUtils::getNodeValue(smileDynamicsNode)));
        }
    }
 
    DLOG("Loading Correlations");
    nodeChild = XMLUtils::getChildNode(node, "Correlations");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        XMLNode* pn = XMLUtils::getChildNode(nodeChild, "Pairs");
        vector<string> pairs;
        if (pn) {
            for (XMLNode* child = XMLUtils::getChildNode(pn, "Pair"); child; child = XMLUtils::getNextSibling(child)) {
                string p = XMLUtils::getNodeValue(child);
                vector<string> tokens = getCorrelationTokens(p);
                QL_REQUIRE(tokens.size() == 2, "not a valid correlation pair: " << p);
                pairs.push_back(p);
            }
        }
        setCorrelationPairs(pairs);
        XMLNode* correlSimNode = XMLUtils::getChildNode(nodeChild, "Simulate");
        if (correlSimNode) {
            setSimulateCorrelations(ore::data::parseBool(XMLUtils::getNodeValue(correlSimNode)));
            correlationExpiries_ = XMLUtils::getChildrenValuesAsPeriods(nodeChild, "Expiries", true);
 
            XMLNode* surfaceNode = XMLUtils::getChildNode(nodeChild, "Surface");
            if (surfaceNode) {
                correlationIsSurface_ = true;
                correlationStrikes_ = XMLUtils::getChildrenValuesAsDoublesCompact(surfaceNode, "Strikes", true);
            } else {
                correlationIsSurface_ = false;
            }
        }
    }
 
    DLOG("Loading CapFloorVolatilities");
    nodeChild = XMLUtils::getChildNode(node, "CapFloorVolatilities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
 
        // Are we simulating caps
        setSimulateCapFloorVols(false);
        XMLNode* capVolSimNode = XMLUtils::getChildNode(nodeChild, "Simulate");
        if (capVolSimNode)
            setSimulateCapFloorVols(ore::data::parseBool(XMLUtils::getNodeValue(capVolSimNode)));
 
        // All cap floor keys
    auto ccys = XMLUtils::getChildrenValues(nodeChild, "Currencies", "Currency", false);
    auto keys = XMLUtils::getChildrenValues(nodeChild, "Keys", "Key", false);
    if(!ccys.empty()) {
        keys.insert(keys.end(), ccys.begin(), ccys.end());
            WLOG("ScenarioSimMarketParameters: CapFloorVolatilities/Currencies is deprecated, use Keys instead.");
        }
        setCapFloorVolKeys(keys);
        QL_REQUIRE(!keys.empty(), "CapFloorVolatilities needs at least one entry");
 
        // Get the configured expiries. They are of the form:
        // - <Expiries key="CCY">t_1,...,t_n</Expiries> for currency specific expiries
        // - <Expiries>t_1,...,t_n</Expiries> or <Expiries key="">t_1,...,t_n</Expiries> for default set of expiries
        // Only need a default expiry set if every currency has not been given an expiry set explicitly
    // instead of key, ccy is supported as an derprecated attribute
        vector<XMLNode*> expiryNodes = XMLUtils::getChildrenNodes(nodeChild, "Expiries");
        QL_REQUIRE(expiryNodes.size() > 0, "CapFloorVolatilities needs at least one Expiries node");
        set<string> keysCheck(keys.begin(), keys.end());
        bool defaultProvided = false;
        for (XMLNode* expiryNode : expiryNodes) {
            // If there is no "key" attribute, getAttribute returns "" which is what we want in any case
            string key = XMLUtils::getAttribute(expiryNode, "key");
            if (key.empty()) {
                string ccyAttr = XMLUtils::getAttribute(expiryNode, "ccy");
                if (!ccyAttr.empty()) {
                    key = ccyAttr;
                    WLOG("ScenarioSimMarketParameters: CapFloorVolatilities/Expiries: 'ccy' attribute is deprecated, "
                         "use 'key' instead.");
                }
            }
            vector<Period> expiries = parseListOfValues<Period>(XMLUtils::getNodeValue(expiryNode), &parsePeriod);
            QL_REQUIRE(capFloorVolExpiries_.insert(make_pair(key, expiries)).second,
                       "CapFloorVolatilities has duplicate expiries for key '" << key << "'");
            keysCheck.erase(key);
            defaultProvided = defaultProvided || key.empty();
        }
        QL_REQUIRE(defaultProvided || keysCheck.size() == 0, "CapFloorVolatilities has no expiries for "
                                                                 << "keys '" << join(keysCheck, ",")
                                                                 << "' and no default expiry set has been given");
 
        // Get the configured strikes. This has the same set up and logic as the Expiries above.
        vector<XMLNode*> strikeNodes = XMLUtils::getChildrenNodes(nodeChild, "Strikes");
        QL_REQUIRE(strikeNodes.size() > 0, "CapFloorVolatilities needs at least one Strikes node");
        keysCheck = std::set<std::string>(keys.begin(), keys.end());
        defaultProvided = false;
        for (XMLNode* strikeNode : strikeNodes) {
            string key = XMLUtils::getAttribute(strikeNode, "key");
            if (key.empty()) {
                string ccyAttr = XMLUtils::getAttribute(strikeNode, "ccy");
                if (!ccyAttr.empty()) {
                    key = ccyAttr;
                    WLOG("ScenarioSimMarketParameters: CapFloorVolatilities/Strikes: 'ccy' attribute is deprecated, "
                         "use 'key' instead.");
                }
            }
            // For the strike value, we allow ATM or a comma separated list of absolute strike values
            // If ATM, the stored strikes vector is left as an empty vector
            vector<Rate> strikes;
            string strStrike = XMLUtils::getNodeValue(strikeNode);
            if (strStrike == "ATM") {
                QL_REQUIRE(capFloorVolIsAtm_.insert(make_pair(key, true)).second,
                           "CapFloorVolatilities has duplicate strikes for key '" << key << "'");
            } else {
                QL_REQUIRE(capFloorVolIsAtm_.insert(make_pair(key, false)).second,
                           "CapFloorVolatilities has duplicate strikes for key '" << key << "'");
                strikes = parseListOfValues<Rate>(strStrike, &parseReal);
            }
            QL_REQUIRE(capFloorVolStrikes_.insert(make_pair(key, strikes)).second,
                       "CapFloorVolatilities has duplicate strikes for key '" << key << "'");
            keysCheck.erase(key);
            defaultProvided = defaultProvided || key.empty();
        }
        QL_REQUIRE(defaultProvided || keysCheck.empty(), "CapFloorVolatilities has no strikes for "
                                                             << "key '" << join(keysCheck, ",")
                                                             << "' and no default strike set has been given");
 
        capFloorVolDecayMode_ = XMLUtils::getChildValue(nodeChild, "ReactionToTimeDecay");
 
        capFloorVolAdjustOptionletPillars_ = false;
        if (XMLNode* n = XMLUtils::getChildNode(nodeChild, "AdjustOptionletPillars")) {
            capFloorVolAdjustOptionletPillars_ = parseBool(XMLUtils::getNodeValue(n));
        }
 
        capFloorVolUseCapAtm_ = false;
        if (XMLNode* n = XMLUtils::getChildNode(nodeChild, "UseCapAtm")) {
            capFloorVolUseCapAtm_ = parseBool(XMLUtils::getNodeValue(n));
        }
 
        // Get smile dynamics
        vector<XMLNode*> smileDynamicsNodes = XMLUtils::getChildrenNodes(nodeChild, "SmileDynamics");
        for (XMLNode* smileDynamicsNode : smileDynamicsNodes) {
            string key = XMLUtils::getAttribute(smileDynamicsNode, "key");
            capFloorVolSmileDynamics_.insert(make_pair(key, XMLUtils::getNodeValue(smileDynamicsNode)));
        }
    }
 
    DLOG("Loading YYCapFloorVolatilities");
    nodeChild = XMLUtils::getChildNode(node, "YYCapFloorVolatilities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        // Are we simulating yy caps
        setSimulateYoYInflationCapFloorVols(false);
        XMLNode* yoyCapVolSimNode = XMLUtils::getChildNode(nodeChild, "Simulate");
        if (yoyCapVolSimNode)
            setSimulateYoYInflationCapFloorVols(ore::data::parseBool(XMLUtils::getNodeValue(yoyCapVolSimNode)));
 
        // All yy cap indices
        setYoYInflationCapFloorVolNames(XMLUtils::getChildrenValues(nodeChild, "Names", "Name", true));
        set<string> yyIndices = params_.find(RiskFactorKey::KeyType::YoYInflationCapFloorVolatility)->second.second;
        QL_REQUIRE(yyIndices.size() > 0, "YYCapFloorVolatilities needs at least on index");
 
        // Get configured expiries
        vector<XMLNode*> expiryNodes = XMLUtils::getChildrenNodes(nodeChild, "Expiries");
        QL_REQUIRE(expiryNodes.size() > 0, "YYCapFloorVolatilities needs at least one Expiries node");
        set<string> indicesCheck = yyIndices;
        bool defaultProvided = false;
        for (XMLNode* expiryNode : expiryNodes) {
            string index = XMLUtils::getAttribute(expiryNode, "name");
            vector<Period> expiries = parseListOfValues<Period>(XMLUtils::getNodeValue(expiryNode), &parsePeriod);
            QL_REQUIRE(yoyInflationCapFloorVolExpiries_.insert(make_pair(index, expiries)).second,
                       "YYCapFloorVolatlities has duplicate expiries for key '" << index << "'");
            indicesCheck.erase(index);
            defaultProvided = index == "";
        }
        QL_REQUIRE(defaultProvided || indicesCheck.size() == 0, "YYCapFloorVolatilites has no expiries for indices '"
                                                                    << join(indicesCheck, ";")
                                                                    << "' and no default expiry has been given");
 
        // Get configured strikes
        vector<XMLNode*> strikeNodes = XMLUtils::getChildrenNodes(nodeChild, "Strikes");
        QL_REQUIRE(strikeNodes.size() > 0, "CapFloorVolatilities needs at least one Strikes node");
        indicesCheck = yyIndices;
        defaultProvided = false;
        for (XMLNode* strikeNode : strikeNodes) {
            string index = XMLUtils::getAttribute(strikeNode, "name");
            // For the strike value, we allow ATM or a comma separated list of absolute strike values
            // If ATM, the stored strikes vector is left as an empty vector
            vector<Rate> strikes;
            string strStrike = XMLUtils::getNodeValue(strikeNode);
            strikes = parseListOfValues<Rate>(strStrike, &parseReal);
            QL_REQUIRE(yoyInflationCapFloorVolStrikes_.insert(make_pair(index, strikes)).second,
                       "YYInflationCapFloorVolatilities has duplicate strikes for key '" << index << "'");
            indicesCheck.erase(index);
            defaultProvided = index == "";
        }
        QL_REQUIRE(defaultProvided || indicesCheck.size() == 0, "YYInflationCapFloorVolatilities has no strikes for "
                                                                    << "currencies '" << join(indicesCheck, ",")
                                                                    << "' and no default strike set has been given");
 
        yoyInflationCapFloorVolDecayMode_ = XMLUtils::getChildValue(nodeChild, "ReactionToTimeDecay");
 
        // Get smile dynamics
        vector<XMLNode*> smileDynamicsNodes = XMLUtils::getChildrenNodes(nodeChild, "SmileDynamics");
        for (XMLNode* smileDynamicsNode : smileDynamicsNodes) {
            string key = XMLUtils::getAttribute(smileDynamicsNode, "key");
            yoyInflationCapFloorVolSmileDynamics_.insert(make_pair(key, XMLUtils::getNodeValue(smileDynamicsNode)));
        }
    }
 
    DLOG("Loading CPICapFloorVolatilities");
    nodeChild = XMLUtils::getChildNode(node, "CPICapFloorVolatilities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        setSimulateZeroInflationCapFloorVols(false);
        XMLNode* ziCapVolSimNode = XMLUtils::getChildNode(nodeChild, "Simulate");
        if (ziCapVolSimNode)
            setSimulateZeroInflationCapFloorVols(ore::data::parseBool(XMLUtils::getNodeValue(ziCapVolSimNode)));
 
        setZeroInflationCapFloorNames(XMLUtils::getChildrenValues(nodeChild, "Names", "Name", true));
 
        set<string> cpiIndices = params_.find(RiskFactorKey::KeyType::ZeroInflationCapFloorVolatility)->second.second;
        QL_REQUIRE(cpiIndices.size() > 0, "CPICapFloorVolatilities needs at least on index");
 
        // Get configured expiries
        // zeroInflationCapFloorVolExpiries_[""] = XMLUtils::getChildrenValuesAsPeriods(nodeChild, "Expiries", true);
        vector<XMLNode*> expiryNodes = XMLUtils::getChildrenNodes(nodeChild, "Expiries");
        QL_REQUIRE(expiryNodes.size() > 0, "CPICapFloorVolatilities needs at least one Expiries node");
        set<string> indicesCheck = cpiIndices;
        bool defaultProvided = false;
        for (XMLNode* expiryNode : expiryNodes) {
            string index = XMLUtils::getAttribute(expiryNode, "name");
            vector<Period> expiries = parseListOfValues<Period>(XMLUtils::getNodeValue(expiryNode), &parsePeriod);
            QL_REQUIRE(zeroInflationCapFloorVolExpiries_.insert(make_pair(index, expiries)).second,
                       "CPICapFloorVolatlities has duplicate expiries for key '" << index << "'");
            indicesCheck.erase(index);
            defaultProvided = index == "";
        }
        QL_REQUIRE(defaultProvided || indicesCheck.size() == 0, "CPICapFloorVolatilites has no expiries for indices '"
                                                                    << join(indicesCheck, ";")
                                                                    << "' and no default expiry has been given");
 
        // Get configured strikes
        // zeroInflationCapFloorVolStrikes_ = XMLUtils::getChildrenValuesAsDoublesCompact(nodeChild, "Strikes", true);
        vector<XMLNode*> strikeNodes = XMLUtils::getChildrenNodes(nodeChild, "Strikes");
        QL_REQUIRE(strikeNodes.size() > 0, "CPICapFloorVolatilities needs at least one Strikes node");
        indicesCheck = cpiIndices;
        defaultProvided = false;
        for (XMLNode* strikeNode : strikeNodes) {
            string index = XMLUtils::getAttribute(strikeNode, "name");
            // For the strike value, we allow ATM or a comma separated list of absolute strike values
            // If ATM, the stored strikes vector is left as an empty vector
            vector<Rate> strikes;
            string strStrike = XMLUtils::getNodeValue(strikeNode);
            strikes = parseListOfValues<Rate>(strStrike, &parseReal);
            QL_REQUIRE(zeroInflationCapFloorVolStrikes_.insert(make_pair(index, strikes)).second,
                       "CPIInflationCapFloorVolatilities has duplicate strikes for key '" << index << "'");
            indicesCheck.erase(index);
            defaultProvided = index == "";
        }
        QL_REQUIRE(defaultProvided || indicesCheck.size() == 0, "CPIInflationCapFloorVolatilities has no strikes for "
                                                                    << "currencies '" << join(indicesCheck, ",")
                                                                    << "' and no default strike set has been given");
 
        zeroInflationCapFloorVolDecayMode_ = XMLUtils::getChildValue(nodeChild, "ReactionToTimeDecay");
 
        // Get smile dynamics
        vector<XMLNode*> smileDynamicsNodes = XMLUtils::getChildrenNodes(nodeChild, "SmileDynamics");
        for (XMLNode* smileDynamicsNode : smileDynamicsNodes) {
            string key = XMLUtils::getAttribute(smileDynamicsNode, "key");
            zeroInflationCapFloorVolSmileDynamics_.insert(make_pair(key, XMLUtils::getNodeValue(smileDynamicsNode)));
        }
    }
 
    DLOG("Loading DefaultCurves Rates");
    nodeChild = XMLUtils::getChildNode(node, "DefaultCurves");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        setDefaultNames(XMLUtils::getChildrenValues(nodeChild, "Names", "Name", true));
        defaultTenors_[""] = XMLUtils::getChildrenValuesAsPeriods(nodeChild, "Tenors", true);
        // TODO read other keys
        XMLNode* survivalProbabilitySimNode = XMLUtils::getChildNode(nodeChild, "SimulateSurvivalProbabilities");
        if (survivalProbabilitySimNode)
            setSimulateSurvivalProbabilities(ore::data::parseBool(XMLUtils::getNodeValue(survivalProbabilitySimNode)));
        XMLNode* recoveryRateSimNode = XMLUtils::getChildNode(nodeChild, "SimulateRecoveryRates");
        if (recoveryRateSimNode)
            setSimulateRecoveryRates(ore::data::parseBool(XMLUtils::getNodeValue(recoveryRateSimNode)));
 
        XMLNode* cal = XMLUtils::getChildNode(nodeChild, "Calendars");
        if (cal) {
            for (XMLNode* child = XMLUtils::getChildNode(cal, "Calendar"); child;
                 child = XMLUtils::getNextSibling(child)) {
                string label = XMLUtils::getAttribute(child, "name");
                defaultCurveCalendars_[label] = XMLUtils::getNodeValue(child);
            }
        }
        QL_REQUIRE(defaultCurveCalendars_.find("") != defaultCurveCalendars_.end(),
                   "default calendar is not set for defaultCurves");
        if (auto n = XMLUtils::getChildNode(nodeChild, "Extrapolation")) {
            defaultCurveExtrapolation_ = XMLUtils::getNodeValue(n);
        }
    }
 
    DLOG("Loading Equities Rates");
    nodeChild = XMLUtils::getChildNode(node, "Equities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        XMLNode* dividendYieldSimNode = XMLUtils::getChildNode(nodeChild, "SimulateDividendYield");
        if (dividendYieldSimNode)
            setSimulateDividendYield(ore::data::parseBool(XMLUtils::getNodeValue(dividendYieldSimNode)));
        else
            setSimulateDividendYield(false);
        vector<string> equityNames = XMLUtils::getChildrenValues(nodeChild, "Names", "Name", true);
        setEquityNames(equityNames);
        equityDividendTenors_[""] = XMLUtils::getChildrenValuesAsPeriods(nodeChild, "DividendTenors", true);
    }
 
    DLOG("Loading CDSVolatilities Rates");
    nodeChild = XMLUtils::getChildNode(node, "CDSVolatilities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        XMLNode* cdsVolSimNode = XMLUtils::getChildNode(nodeChild, "Simulate");
        if (cdsVolSimNode)
            setSimulateCdsVols(ore::data::parseBool(XMLUtils::getNodeValue(cdsVolSimNode)));
        cdsVolExpiries_ = XMLUtils::getChildrenValuesAsPeriods(nodeChild, "Expiries", true);
        setCdsVolNames(XMLUtils::getChildrenValues(nodeChild, "Names", "Name", true));
        cdsVolDecayMode_ = XMLUtils::getChildValue(nodeChild, "ReactionToTimeDecay");
 
        XMLNode* atmOnlyNode = XMLUtils::getChildNode(nodeChild, "SimulateATMOnly");
        if (atmOnlyNode) {
            cdsVolSimulateATMOnly_ = XMLUtils::getChildValueAsBool(nodeChild, "SimulateATMOnly", true);
        }
 
        // Get smile dynamics
        vector<XMLNode*> smileDynamicsNodes = XMLUtils::getChildrenNodes(nodeChild, "SmileDynamics");
        for (XMLNode* smileDynamicsNode : smileDynamicsNodes) {
            string key = XMLUtils::getAttribute(smileDynamicsNode, "key");
            cdsVolSmileDynamics_.insert(make_pair(key, XMLUtils::getNodeValue(smileDynamicsNode)));
        }
    }
 
    DLOG("Loading FXVolatilities");
    nodeChild = XMLUtils::getChildNode(node, "FxVolatilities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        setSimulateFXVols(false);
        XMLNode* fxVolSimNode = XMLUtils::getChildNode(nodeChild, "Simulate");
        if (fxVolSimNode)
            setSimulateFXVols(ore::data::parseBool(XMLUtils::getNodeValue(fxVolSimNode)));
        fxVolDecayMode_ = XMLUtils::getChildValue(nodeChild, "ReactionToTimeDecay");
        setFxVolCcyPairs(XMLUtils::getChildrenValues(nodeChild, "CurrencyPairs", "CurrencyPair", true));
 
        vector<XMLNode*> expiryNodes = XMLUtils::getChildrenNodes(nodeChild, "Expiries");
        set<string> names = params_.find(RiskFactorKey::KeyType::FXVolatility)->second.second;
        QL_REQUIRE(names.size() > 0, "FXVolatility needs at least one name");
        set<string> namesCheck = names;
        bool defaultProvided = false;
        for (XMLNode* expiryNode : expiryNodes) {
            // If there is no "name" attribute, getAttribute returns "" which is what we want in any case
            string name = XMLUtils::getAttribute(expiryNode, "ccyPair");
            vector<Period> expiries = parseListOfValues<Period>(XMLUtils::getNodeValue(expiryNode), &parsePeriod);
            QL_REQUIRE(fxVolExpiries_.insert(make_pair(name, expiries)).second,
                       "FXVolatilities has duplicate expiries for key '" << name << "'");
            namesCheck.erase(name);
            defaultProvided = name == "";
        }
        QL_REQUIRE(defaultProvided || namesCheck.size() == 0, "FXVolatilities has no expiries for "
            << "equities '" << join(namesCheck, ",") << "' and no default expiry set has been given");
 
        XMLNode* fxSurfaceNode = XMLUtils::getChildNode(nodeChild, "Surface");
        setFxVolIsSurface("", false);
        if (fxSurfaceNode) {
            for (XMLNode* child = XMLUtils::getChildNode(fxSurfaceNode, "Moneyness"); child;
                 child = XMLUtils::getNextSibling(child, "Moneyness")) {
                string label = XMLUtils::getAttribute(child, "ccyPair"); // will be "" if no attr
                setFxVolMoneyness(label, XMLUtils::getNodeValueAsDoublesCompact(child));
                if (fxVolMoneyness(label).size() > 1) {
                    setFxVolIsSurface(label, true);
                }
            }
            for (XMLNode* child = XMLUtils::getChildNode(fxSurfaceNode, "StandardDeviations"); child;
                 child = XMLUtils::getNextSibling(child, "StandardDeviations")) {
                string label = XMLUtils::getAttribute(child, "ccyPair"); // will be "" if no attr
                // We cannot have both moneyness and standard deviations for any label (inclding the default of ""
                // Throw error if this occurs
                if (fxMoneyness_.find(label) != fxMoneyness_.end()) {
                    QL_FAIL(
                        "FX Volatility simulation parameters - both moneyness and standard deviations provided for "
                        "label " << label);
                } else {
                    setFxVolStdDevs(label, XMLUtils::getNodeValueAsDoublesCompact(child));
                    if (fxVolStdDevs(label).size() > 1) {
                        setFxVolIsSurface(label, true);
                    }
                }
            }
        } else {
            XMLNode* atmOnlyNode = XMLUtils::getChildNode(nodeChild, "SimulateATMOnly");
            if (atmOnlyNode) {
                fxVolSimulateATMOnly_ = XMLUtils::getChildValueAsBool(nodeChild, "SimulateATMOnly", true);
            }
        }
        // Get smile dynamics
        vector<XMLNode*> smileDynamicsNodes = XMLUtils::getChildrenNodes(nodeChild, "SmileDynamics");
        for (XMLNode* smileDynamicsNode : smileDynamicsNodes) {
            string key = XMLUtils::getAttribute(smileDynamicsNode, "key");
            fxVolSmileDynamics_.insert(make_pair(key, XMLUtils::getNodeValue(smileDynamicsNode)));
        }
    }
 
    DLOG("Loading EquityVolatilities");
    nodeChild = XMLUtils::getChildNode(node, "EquityVolatilities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        setSimulateEquityVols(XMLUtils::getChildValueAsBool(nodeChild, "Simulate", true));
        equityVolDecayMode_ = XMLUtils::getChildValue(nodeChild, "ReactionToTimeDecay");
        setEquityVolNames(XMLUtils::getChildrenValues(nodeChild, "Names", "Name", true));
       
        vector<XMLNode*> expiryNodes = XMLUtils::getChildrenNodes(nodeChild, "Expiries");
        set<string> names = params_.find(RiskFactorKey::KeyType::EquityVolatility)->second.second;
        QL_REQUIRE(names.size() > 0, "EquityVolatility needs at least one name");
        set<string> namesCheck = names;
        bool defaultProvided = false;
        for (XMLNode* expiryNode : expiryNodes) {
            // If there is no "name" attribute, getAttribute returns "" which is what we want in any case
            string name = XMLUtils::getAttribute(expiryNode, "name");
            vector<Period> expiries = parseListOfValues<Period>(XMLUtils::getNodeValue(expiryNode), &parsePeriod);
            QL_REQUIRE(equityVolExpiries_.insert(make_pair(name, expiries)).second,
                "EquityVolatilities has duplicate expiries for key '" << name << "'");
            namesCheck.erase(name);
            defaultProvided = name == "";
        }
        QL_REQUIRE(defaultProvided || namesCheck.size() == 0, "EquityVolatilities has no expiries for " <<
            "equities '" << join(namesCheck, ",") << "' and no default expiry set has been given");
 
        XMLNode* eqSurfaceNode = XMLUtils::getChildNode(nodeChild, "Surface");
        setEquityVolIsSurface("", false);
        if (eqSurfaceNode) {
            for (XMLNode* child = XMLUtils::getChildNode(eqSurfaceNode, "Moneyness"); child;
                child = XMLUtils::getNextSibling(child, "Moneyness")) {
                string label = XMLUtils::getAttribute(child, "name"); // will be "" if no attr
                setEquityVolMoneyness(label, XMLUtils::getNodeValueAsDoublesCompact(child));
                if (equityVolMoneyness(label).size() > 1) {
                    setEquityVolIsSurface(label, true);
                }
            }
            for (XMLNode* child = XMLUtils::getChildNode(eqSurfaceNode, "StandardDeviations"); child;
                child = XMLUtils::getNextSibling(child, "StandardDeviations")) {
                string label = XMLUtils::getAttribute(child, "name"); // will be "" if no attr
                // We cannot have both moneyness and standard deviations for any label (including the default of ""
                // Throw error if this occurs
                if (equityMoneyness_.find(label) != equityMoneyness_.end()){
                    QL_FAIL("Equity Volatility simulation parameters - both moneyness and standard deviations provided for label " << label);
                } else {
                    setEquityVolStandardDevs(label, XMLUtils::getNodeValueAsDoublesCompact(child));
                    if (equityVolStandardDevs(label).size() > 1) {
                        setEquityVolIsSurface(label, true);
                    }
                }
            }
        } else {
            XMLNode* atmOnlyNode = XMLUtils::getChildNode(nodeChild, "SimulateATMOnly");
            if (atmOnlyNode) {
                equityVolSimulateATMOnly_ = XMLUtils::getChildValueAsBool(nodeChild, "SimulateATMOnly", true);
            }
        }
        // Get smile dynamics
        vector<XMLNode*> smileDynamicsNodes = XMLUtils::getChildrenNodes(nodeChild, "SmileDynamics");
        for (XMLNode* smileDynamicsNode : smileDynamicsNodes) {
            string key = XMLUtils::getAttribute(smileDynamicsNode, "key");
            equityVolSmileDynamics_.insert(make_pair(key, XMLUtils::getNodeValue(smileDynamicsNode)));
        }
    }
 
    DLOG("Loading CpiInflationIndexCurves");
    setCpiIndices(XMLUtils::getChildrenValues(node, "CpiIndices", "Index", false));
 
    DLOG("Loading ZeroInflationIndexCurves");
    nodeChild = XMLUtils::getChildNode(node, "ZeroInflationIndexCurves");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        setZeroInflationIndices(XMLUtils::getChildrenValues(nodeChild, "Names", "Name", true));
        zeroInflationTenors_[""] = XMLUtils::getChildrenValuesAsPeriods(nodeChild, "Tenors", true);
    }
 
    DLOG("Loading YYInflationIndexCurves");
 
    nodeChild = XMLUtils::getChildNode(node, "YYInflationIndexCurves");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        setYoyInflationIndices(XMLUtils::getChildrenValues(nodeChild, "Names", "Name", true));
        yoyInflationTenors_[""] = XMLUtils::getChildrenValuesAsPeriods(nodeChild, "Tenors", true);
    }
 
    DLOG("Loading AggregationScenarioDataIndices");
    if (XMLUtils::getChildNode(node, "AggregationScenarioDataIndices")) {
        additionalScenarioDataIndices_ = XMLUtils::getChildrenValues(node, "AggregationScenarioDataIndices", "Index");
    }
 
    DLOG("Loading AggregationScenarioDataCurrencies");
    if (XMLUtils::getChildNode(node, "AggregationScenarioDataCurrencies")) {
        additionalScenarioDataCcys_ =
            XMLUtils::getChildrenValues(node, "AggregationScenarioDataCurrencies", "Currency", true);
    }
 
    DLOG("Loading Securities");
    nodeChild = XMLUtils::getChildNode(node, "Securities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        // TODO 1) this should be renamed to SimulateSpread?
        //      2) add security recovery rates here separate from default curves?
        setSecuritySpreadsSimulate(XMLUtils::getChildValueAsBool(nodeChild, "Simulate", false));
        vector<string> securities = XMLUtils::getChildrenValues(nodeChild, "Names", "Name");
        setSecurities(securities);
    }
 
    DLOG("Loading CPRs");
    nodeChild = XMLUtils::getChildNode(node, "CPRs");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        setSimulateCprs(XMLUtils::getChildValueAsBool(nodeChild, "Simulate", false));
        setCprs(XMLUtils::getChildrenValues(nodeChild, "Names", "Name"));
    }
 
    DLOG("Loading BaseCorrelations");
    nodeChild = XMLUtils::getChildNode(node, "BaseCorrelations");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        setSimulateBaseCorrelations(XMLUtils::getChildValueAsBool(nodeChild, "Simulate", true));
        setBaseCorrelationNames(XMLUtils::getChildrenValues(nodeChild, "IndexNames", "IndexName", true));
        baseCorrelationTerms_ = XMLUtils::getChildrenValuesAsPeriods(nodeChild, "Terms", true);
        baseCorrelationDetachmentPoints_ =
            XMLUtils::getChildrenValuesAsDoublesCompact(nodeChild, "DetachmentPoints", true);
    }
 
    DLOG("Loading commodities data");
    nodeChild = XMLUtils::getChildNode(node, "Commodities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        XMLNode* commoditySimNode = XMLUtils::getChildNode(nodeChild, "Simulate");
        setCommodityCurveSimulate(commoditySimNode ? parseBool(XMLUtils::getNodeValue(commoditySimNode)) : false);
 
        vector<string> commodityNames = XMLUtils::getChildrenValues(nodeChild, "Names", "Name", true);
        setCommodityNames(commodityNames);
 
        set<string> names = params_.find(RiskFactorKey::KeyType::CommodityCurve)->second.second;
        QL_REQUIRE(names.size() > 0, "Commodities needs at least one name");
 
        // Get the configured tenors. They are of the form:
        // - <Tenors name="NAME">t_1,...,t_n</Tenors> for commodity name specific tenors
        // - <Tenors>t_1,...,t_n</Tenors> or <Tenors name="">t_1,...,t_n</Tenors> for a default set of tenors
        // Only need a default tenor set if every commodity name has not been given a tenor set explicitly
        vector<XMLNode*> tenorNodes = XMLUtils::getChildrenNodes(nodeChild, "Tenors");
        QL_REQUIRE(tenorNodes.size() > 0, "Commodities needs at least one Tenors node");
        set<string> namesCheck = names;
        bool defaultProvided = false;
        for (XMLNode* tenorNode : tenorNodes) {
            // If there is no "name" attribute, getAttribute returns "" which is what we want in any case
            string name = XMLUtils::getAttribute(tenorNode, "name");
 
            // An empty tenor list here means that the scenario simulation market should be set up on the
            // same pillars as the initial t_0 market from which it is sampling its values
            vector<Period> tenors;
            string strTenorList = XMLUtils::getNodeValue(tenorNode);
            if (!strTenorList.empty()) {
                tenors = parseListOfValues<Period>(XMLUtils::getNodeValue(tenorNode), &parsePeriod);
            }
 
            QL_REQUIRE(commodityCurveTenors_.insert(make_pair(name, tenors)).second,
                       "Commodities has duplicate expiries for key '" << name << "'");
            namesCheck.erase(name);
            defaultProvided = name == "";
        }
        QL_REQUIRE(defaultProvided || namesCheck.size() == 0, "Commodities has no tenors for "
                                                                  << "names '" << join(namesCheck, ",")
                                                                  << "' and no default tenor set has been given");
    }
 
    DLOG("Loading commodity volatility data");
    nodeChild = XMLUtils::getChildNode(node, "CommodityVolatilities");
    if (nodeChild && XMLUtils::getChildNode(nodeChild)) {
        setCommodityVolSimulate(XMLUtils::getChildValueAsBool(nodeChild, "Simulate", true));
        commodityVolDecayMode_ = XMLUtils::getChildValue(nodeChild, "ReactionToTimeDecay");
 
        vector<string> names;
        XMLNode* namesNode = XMLUtils::getChildNode(nodeChild, "Names");
        if (namesNode) {
            for (XMLNode* child = XMLUtils::getChildNode(namesNode, "Name"); child;
                 child = XMLUtils::getNextSibling(child)) {
                // Get the vol configuration for each commodity name
                string name = XMLUtils::getAttribute(child, "id");
                names.push_back(name);
                commodityVolExpiries_[name] = XMLUtils::getChildrenValuesAsPeriods(child, "Expiries", true);
                vector<Real> moneyness = XMLUtils::getChildrenValuesAsDoublesCompact(child, "Moneyness", false);
                if (moneyness.empty())
                    moneyness = {1.0};
                commodityVolMoneyness_[name] = moneyness;
            }
        }
        setCommodityVolNames(names);
        // Get smile dynamics
        vector<XMLNode*> smileDynamicsNodes = XMLUtils::getChildrenNodes(nodeChild, "SmileDynamics");
        for (XMLNode* smileDynamicsNode : smileDynamicsNodes) {
            string key = XMLUtils::getAttribute(smileDynamicsNode, "key");
            commodityVolSmileDynamics_.insert(make_pair(key, XMLUtils::getNodeValue(smileDynamicsNode)));
        }
    }
 
    DLOG("Loading credit states data");
    nodeChild = XMLUtils::getChildNode(node, "CreditStates");
    numberOfCreditStates_ = 0;
    if (nodeChild) {
        numberOfCreditStates_ = XMLUtils::getChildValueAsInt(nodeChild, "NumberOfFactors", true);
    }
 
    DLOG("Loading AggregationScenarioDataCreditStates");
    nodeChild = XMLUtils::getChildNode(node, "AggregationScenarioDataCreditStates");
    additionalScenarioDataNumberOfCreditStates_ = 0;
    if (nodeChild) {
        additionalScenarioDataNumberOfCreditStates_ = XMLUtils::getChildValueAsInt(nodeChild, "NumberOfFactors", true);
    }
 
    DLOG("Loading AggregationScenarioDataSurvivalWeights");
    additionalScenarioDataSurvivalWeights_ = XMLUtils::getChildrenValues(node, "AggregationScenarioDataSurvivalWeights", "Name");
 
 
    DLOG("Loaded ScenarioSimMarketParameters");
}

Here is the call graph for this function:

◆ toXML()

XMLNode * toXML ( ore::data::XMLDocument & doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 1547 of file scenariosimmarketparameters.cpp.

                                                                  {
 
    XMLNode* simulationNode = doc.allocNode("Simulation");
    XMLNode* marketNode = doc.allocNode("Market");
 
    // currencies
    XMLUtils::addChild(doc, marketNode, "BaseCurrency", baseCcy_);
    XMLUtils::addChildren(doc, marketNode, "Currencies", "Currency", ccys_);
 
    // yield curves
    DLOG("Writing yield curves data");
    XMLNode* yieldCurvesNode = XMLUtils::addChild(doc, marketNode, "YieldCurves");
 
    // Take the keys from the yieldCurveDayCounters_ and yieldCurveTenors_ maps
    set<string> keys;
    for (const auto& kv : yieldCurveTenors_) {
        keys.insert(kv.first);
    }
    QL_REQUIRE(keys.count("") > 0, "There is no default yield curve configuration in simulation parameters");
 
    // Add the yield curve configuration nodes
    for (const auto& key : keys) {
        XMLNode* configNode = doc.allocNode("Configuration");
        XMLUtils::addAttribute(doc, configNode, "curve", key);
        if (yieldCurveTenors_.count(key) > 0) {
            XMLUtils::addGenericChildAsList(doc, configNode, "Tenors", yieldCurveTenors_.at(key));
        }
        if (key == "") {
            XMLUtils::addChild(doc, configNode, "Interpolation", interpolation_);
            XMLUtils::addChild(doc, configNode, "Extrapolation", extrapolation_);
        }
        XMLUtils::appendNode(yieldCurvesNode, configNode);
    }
 
    // fx rates
    if (fxCcyPairs().size() > 0) {
        DLOG("Writing FX rates");
        XMLNode* fxRatesNode = XMLUtils::addChild(doc, marketNode, "FxRates");
        XMLUtils::addChildren(doc, fxRatesNode, "CurrencyPairs", "CurrencyPair", fxCcyPairs());
    }
 
    // indices
    if (indices().size() > 0) {
        DLOG("Writing libor indices");
        XMLUtils::addChildren(doc, marketNode, "Indices", "Index", indices());
    }
 
    // swap indices
    if (swapIndices_.size() > 0) {
        DLOG("Writing swap indices");
        XMLNode* swapIndicesNode = XMLUtils::addChild(doc, marketNode, "SwapIndices");
        for (auto kv : swapIndices_) {
            XMLNode* swapIndexNode = XMLUtils::addChild(doc, swapIndicesNode, "SwapIndex");
            XMLUtils::addChild(doc, swapIndexNode, "Name", kv.first);
            XMLUtils::addChild(doc, swapIndexNode, "DiscountingIndex", kv.second);
        }
    }
 
    // default curves
    if (!defaultNames().empty()) {
        DLOG("Writing default curves");
        XMLNode* defaultCurvesNode = XMLUtils::addChild(doc, marketNode, "DefaultCurves");
        XMLUtils::addChildren(doc, defaultCurvesNode, "Names", "Name", defaultNames());
        XMLUtils::addGenericChildAsList(doc, defaultCurvesNode, "Tenors", lookup(defaultTenors_, ""));
        XMLUtils::addChild(doc, defaultCurvesNode, "SimulateSurvivalProbabilities", simulateSurvivalProbabilities());
        XMLUtils::addChild(doc, defaultCurvesNode, "SimulateRecoveryRates", simulateRecoveryRates());
 
        if (defaultCurveCalendars_.size() > 0) {
            XMLNode* node = XMLUtils::addChild(doc, defaultCurvesNode, "Calendars");
            for (auto dc : defaultCurveCalendars_) {
                XMLNode* c = doc.allocNode("Calendar", dc.second);
                XMLUtils::addAttribute(doc, c, "name", dc.first);
                XMLUtils::appendNode(node, c);
            }
        }
 
        if (!defaultCurveExtrapolation_.empty()) {
            XMLUtils::addChild(doc, defaultCurvesNode, "Extrapolation", defaultCurveExtrapolation_);
        }
    }
 
    // equities
    if (!equityNames().empty()) {
        DLOG("Writing equities");
        XMLNode* equitiesNode = XMLUtils::addChild(doc, marketNode, "Equities");
        XMLUtils::addChild(doc, equitiesNode, "SimulateDividendYield", simulateDividendYield());
        XMLUtils::addChildren(doc, equitiesNode, "Names", "Name", equityNames());
        XMLUtils::addGenericChildAsList(doc, equitiesNode, "DividendTenors", lookup(equityDividendTenors_, ""));
    }
 
    // swaption volatilities
    if (!swapVolKeys().empty()) {
        DLOG("Writing swaption volatilities");
        XMLNode* swaptionVolatilitiesNode = XMLUtils::addChild(doc, marketNode, "SwaptionVolatilities");
        XMLUtils::addChild(doc, swaptionVolatilitiesNode, "Simulate", simulateSwapVols());
        XMLUtils::addChild(doc, swaptionVolatilitiesNode, "ReactionToTimeDecay", swapVolDecayMode_);
        XMLUtils::addChildren(doc, swaptionVolatilitiesNode, "Keys", "Key", swapVolKeys());
        for (auto it = swapVolExpiries_.begin(); it != swapVolExpiries_.end(); it++) {
            XMLUtils::addGenericChildAsList(doc, swaptionVolatilitiesNode, "Expiries", swapVolExpiries_.find(it->first)->second,
                                            "key", it->first);
        }
        for (auto it = swapVolTerms_.begin(); it != swapVolTerms_.end(); it++) {
            XMLUtils::addGenericChildAsList(doc, swaptionVolatilitiesNode, "Terms", swapVolTerms_.find(it->first)->second, "key",
                                            it->first);
        }
 
        if (swapVolSimulateATMOnly_) {
            XMLUtils::addChild(doc, swaptionVolatilitiesNode, "SimulateATMOnly", swapVolSimulateATMOnly_);
        } else {
            for (auto it = swapVolStrikeSpreads_.begin(); it != swapVolStrikeSpreads_.end(); it++) {
                XMLUtils::addGenericChildAsList(doc, swaptionVolatilitiesNode, "StrikeSpreads",
                                                swapVolStrikeSpreads_.find(it->first)->second, "key", it->first);
            }
        }
        for (auto it = swapVolSmileDynamics_.begin(); it != swapVolSmileDynamics_.end(); it++) {
            XMLUtils::addChild(doc, swaptionVolatilitiesNode, "SmileDynamics", it->second, "key", it->first);
        }
    }
 
    // yield volatilities
    if (!yieldVolNames().empty()) {
        DLOG("Writing yield volatilities");
        XMLNode* yieldVolatilitiesNode = XMLUtils::addChild(doc, marketNode, "YieldVolatilities");
        XMLUtils::addChild(doc, yieldVolatilitiesNode, "Simulate", simulateYieldVols());
        XMLUtils::addChild(doc, yieldVolatilitiesNode, "ReactionToTimeDecay", yieldVolDecayMode_);
        XMLUtils::addChildren(doc, yieldVolatilitiesNode, "Names", "Name", yieldVolNames());
        XMLUtils::addGenericChildAsList(doc, yieldVolatilitiesNode, "Expiries", yieldVolExpiries_);
        XMLUtils::addGenericChildAsList(doc, yieldVolatilitiesNode, "Terms", yieldVolTerms_);
        for (auto it = yieldVolSmileDynamics_.begin(); it != yieldVolSmileDynamics_.end(); it++) {
            XMLUtils::addChild(doc, yieldVolatilitiesNode, "SmileDynamics", it->second, "key", it->first);
        }
    }
 
    // cap/floor volatilities
    if (!capFloorVolKeys().empty()) {
        DLOG("Writing cap/floor volatilities");
        XMLNode* capFloorVolatilitiesNode = XMLUtils::addChild(doc, marketNode, "CapFloorVolatilities");
        XMLUtils::addChild(doc, capFloorVolatilitiesNode, "Simulate", simulateCapFloorVols());
        XMLUtils::addChild(doc, capFloorVolatilitiesNode, "ReactionToTimeDecay", capFloorVolDecayMode_);
        XMLUtils::addChildren(doc, capFloorVolatilitiesNode, "Keys", "Key", capFloorVolKeys());
 
        // Write out cap floor expiries node for each key
        for (auto kv : capFloorVolExpiries_) {
            // If strikes vector is empty, the node value is ATM else it is the comma separated list of strikes
            // No checks here on the string repr of each strike value - dangerous but in lots of places.
            string nodeValue = join(kv.second | transformed([](Period p) { return ore::data::to_string(p); }), ",");
            XMLNode* expiriesNode = doc.allocNode("Expiries", nodeValue);
            XMLUtils::addAttribute(doc, expiriesNode, "key", kv.first);
            XMLUtils::appendNode(capFloorVolatilitiesNode, expiriesNode);
        }
 
        // Write out cap floor strikes for each currency
        for (auto kv : capFloorVolStrikes_) {
            // If strikes vector is empty, the node value is ATM else it is the comma separated list of strikes
            // No checks here on the string repr of each strike value - dangerous but in lots of places.
            string nodeValue = kv.second.empty()
                                   ? "ATM"
                                   : join(kv.second | transformed([](Rate s) { return ore::data::to_string(s); }), ",");
            XMLNode* strikesNode = doc.allocNode("Strikes", nodeValue);
            XMLUtils::addAttribute(doc, strikesNode, "key", kv.first);
            XMLUtils::appendNode(capFloorVolatilitiesNode, strikesNode);
        }
 
        XMLUtils::addChild(doc, capFloorVolatilitiesNode, "AdjustOptionletPillars",
            capFloorVolAdjustOptionletPillars_);
        XMLUtils::addChild(doc, capFloorVolatilitiesNode, "UseCapAtm", capFloorVolUseCapAtm_);
        for (auto it = capFloorVolSmileDynamics_.begin(); it != capFloorVolSmileDynamics_.end(); it++) {
            XMLUtils::addChild(doc, capFloorVolatilitiesNode, "SmileDynamics", it->second, "key", it->first);
        }
    }
 
    // zero inflation cap/floor volatilities
    if (!zeroInflationCapFloorVolNames().empty()) {
        DLOG("Writing zero inflation cap/floor volatilities");
        XMLNode* n = XMLUtils::addChild(doc, marketNode, "CPICapFloorVolatilities");
        XMLUtils::addChild(doc, n, "Simulate", simulateZeroInflationCapFloorVols());
        XMLUtils::addChild(doc, n, "ReactionToTimeDecay", zeroInflationCapFloorVolDecayMode());
        XMLUtils::addChildren(doc, n, "Names", "Name", zeroInflationCapFloorVolNames());
 
        // Write out cap floor expiries node for each currency
        for (auto kv : zeroInflationCapFloorVolExpiries_) {
            string nodeValue = join(kv.second | transformed([](Period p) { return ore::data::to_string(p); }), ",");
            XMLNode* expiriesNode = doc.allocNode("Expiries", nodeValue);
            XMLUtils::addAttribute(doc, expiriesNode, "name", kv.first);
            XMLUtils::appendNode(n, expiriesNode);
        }
 
        // Write out cap floor strikes for each currency
        for (auto kv : zeroInflationCapFloorVolStrikes_) {
            string nodeValue = kv.second.empty()
                                   ? "ATM"
                                   : join(kv.second | transformed([](Rate s) { return ore::data::to_string(s); }), ",");
            XMLNode* strikesNode = doc.allocNode("Strikes", nodeValue);
            XMLUtils::addAttribute(doc, strikesNode, "name", kv.first);
            XMLUtils::appendNode(n, strikesNode);
        }
        for (auto it = zeroInflationCapFloorVolSmileDynamics_.begin();
             it != zeroInflationCapFloorVolSmileDynamics_.end(); it++) {
            XMLUtils::addChild(doc, n, "SmileDynamics", it->second, "key", it->first);
        }
    }
 
    if (!cdsVolNames().empty()) {
        DLOG("Writing CDS volatilities");
        XMLNode* cdsVolatilitiesNode = XMLUtils::addChild(doc, marketNode, "CDSVolatilities");
        XMLUtils::addChild(doc, cdsVolatilitiesNode, "Simulate", simulateCdsVols());
        XMLUtils::addChild(doc, cdsVolatilitiesNode, "ReactionToTimeDecay", cdsVolDecayMode_);
        XMLUtils::addChildren(doc, cdsVolatilitiesNode, "Names", "Name", cdsVolNames());
        XMLUtils::addGenericChildAsList(doc, cdsVolatilitiesNode, "Expiries", cdsVolExpiries_);
        if (cdsVolSimulateATMOnly_) {
            XMLUtils::addChild(doc, cdsVolatilitiesNode, "SimulateATMOnly", cdsVolSimulateATMOnly_);
        }
        for (auto it = cdsVolSmileDynamics_.begin(); it != cdsVolSmileDynamics_.end(); it++) {
            XMLUtils::addChild(doc, cdsVolatilitiesNode, "SmileDynamics", it->second, "key", it->first);
        }
    }
 
    // fx volatilities
    if (!fxVolCcyPairs().empty()) {
        DLOG("Writing FX volatilities");
        XMLNode* fxVolatilitiesNode = XMLUtils::addChild(doc, marketNode, "FxVolatilities");
        XMLUtils::addChild(doc, fxVolatilitiesNode, "Simulate", simulateFXVols());
        XMLUtils::addChild(doc, fxVolatilitiesNode, "ReactionToTimeDecay", fxVolDecayMode_);
        XMLUtils::addChildren(doc, fxVolatilitiesNode, "CurrencyPairs", "CurrencyPair", fxVolCcyPairs());
        for (auto it = fxVolExpiries_.begin(); it != fxVolExpiries_.end(); it++) {
            XMLUtils::addGenericChildAsList(doc, fxVolatilitiesNode, "Expiries", fxVolExpiries_.find(it->first)->second, "ccyPair",
                                            it->first);
        }
        if (fxVolSimulateATMOnly_) {
            XMLUtils::addChild(doc, fxVolatilitiesNode, "SimulateATMOnly", fxVolSimulateATMOnly_);
        }
        if (fxVolSimulateATMOnly_ || fxMoneyness_.size() > 0 || fxStandardDevs_.size() > 0) {
            XMLNode* fxSurfaceNode = XMLUtils::addChild(doc, fxVolatilitiesNode, "Surface");
            for (auto it = fxMoneyness_.begin(); it != fxMoneyness_.end(); it++) {
                XMLUtils::addGenericChildAsList(doc, fxSurfaceNode, "Moneyness", equityMoneyness_.find(it->first)->second, "ccyPair",
                                                it->first);
            }
            for (auto it = fxStandardDevs_.begin(); it != fxStandardDevs_.end(); it++) {
                XMLUtils::addGenericChildAsList(doc, fxSurfaceNode, "StandardDeviations",
                                                fxStandardDevs_.find(it->first)->second, "ccyPair", it->first);
            }
        }
        for (auto it = fxVolSmileDynamics_.begin(); it != fxVolSmileDynamics_.end(); it++) {
            XMLUtils::addChild(doc, fxVolatilitiesNode, "SmileDynamics", it->second, "key", it->first);
        }
    }
 
    // eq volatilities
    if (!equityVolNames().empty()) {
        DLOG("Writing equity volatilities");
        XMLNode* eqVolatilitiesNode = XMLUtils::addChild(doc, marketNode, "EquityVolatilities");
        XMLUtils::addChild(doc, eqVolatilitiesNode, "Simulate", simulateEquityVols());
        XMLUtils::addChild(doc, eqVolatilitiesNode, "ReactionToTimeDecay", equityVolDecayMode_);
        XMLUtils::addChildren(doc, eqVolatilitiesNode, "Names", "Name", equityVolNames());
        for (auto it = equityVolExpiries_.begin(); it != equityVolExpiries_.end(); it++) {
            XMLUtils::addGenericChildAsList(doc, eqVolatilitiesNode, "Expiries", equityVolExpiries_.find(it->first)->second, "name",
                it->first);
        }
        if (equityVolSimulateATMOnly_) {
            XMLUtils::addChild(doc, eqVolatilitiesNode, "SimulateATMOnly", equityVolSimulateATMOnly_);
        }
        if (equityVolSimulateATMOnly_ || equityMoneyness_.size() > 0 || equityStandardDevs_.size() > 0) {
            XMLNode* eqSurfaceNode = XMLUtils::addChild(doc, eqVolatilitiesNode, "Surface");
            for (auto it = equityMoneyness_.begin(); it != equityMoneyness_.end(); it++) {
                XMLUtils::addGenericChildAsList(doc, eqSurfaceNode, "Moneyness", equityMoneyness_.find(it->first)->second, "name",
                    it->first);
            }
            for (auto it = equityStandardDevs_.begin(); it != equityStandardDevs_.end(); it++) {
                XMLUtils::addGenericChildAsList(doc, eqSurfaceNode, "StandardDeviations", equityStandardDevs_.find(it->first)->second, "name",
                    it->first);
            }            
        }
        for (auto it = equityVolSmileDynamics_.begin(); it != equityVolSmileDynamics_.end(); it++) {
            XMLUtils::addChild(doc, eqVolatilitiesNode, "SmileDynamics", it->second, "key", it->first);
        }
    }
 
    // benchmark yield curves
    XMLNode* benchmarkCurvesNode = XMLUtils::addChild(doc, marketNode, "BenchmarkCurves");
    for (Size i = 0; i < yieldCurveNames().size(); ++i) {
        DLOG("Writing benchmark yield curves data");
        XMLNode* benchmarkCurveNode = XMLUtils::addChild(doc, benchmarkCurvesNode, "BenchmarkCurve");
        XMLUtils::addChild(doc, benchmarkCurveNode, "Currency", yieldCurveCurrencies_.find(yieldCurveNames()[i])->second);
        XMLUtils::addChild(doc, benchmarkCurveNode, "Name", yieldCurveNames()[i]);
    }
 
    // securities
    if (!securities().empty()) {
        DLOG("Writing securities");
        XMLNode* secNode = XMLUtils::addChild(doc, marketNode, "Securities");
        XMLUtils::addChild(doc, secNode, "Simulate", securitySpreadsSimulate());
        XMLUtils::addChildren(doc, secNode, "Names", "Name", securities());
    }
 
    // cprs
    if (!cprs().empty()) {
        DLOG("Writing cprs");
        XMLNode* cprNode = XMLUtils::addChild(doc, marketNode, "CPRs");
        XMLUtils::addChild(doc, cprNode, "Simulate", simulateCprs());
        XMLUtils::addChildren(doc, cprNode, "Names", "Name", cprs());
    }
 
    // inflation indices
    if (!cpiIndices().empty()) {
        DLOG("Writing inflation indices");
        XMLUtils::addChildren(doc, marketNode, "CpiIndices", "Index", cpiIndices());
    }
 
    // zero inflation
    if (!zeroInflationIndices().empty()) {
        DLOG("Writing zero inflation");
        XMLNode* zeroNode = XMLUtils::addChild(doc, marketNode, "ZeroInflationIndexCurves");
        XMLUtils::addChildren(doc, zeroNode, "Names", "Name", zeroInflationIndices());
        XMLUtils::addGenericChildAsList(doc, zeroNode, "Tenors", lookup(zeroInflationTenors_, ""));
    }
 
    // yoy inflation
    if (!yoyInflationIndices().empty()) {
        DLOG("Writing year-on-year inflation");
        XMLNode* yoyNode = XMLUtils::addChild(doc, marketNode, "YYInflationIndexCurves");
        XMLUtils::addChildren(doc, yoyNode, "Names", "Name", yoyInflationIndices());
        XMLUtils::addGenericChildAsList(doc, yoyNode, "Tenors", lookup(yoyInflationTenors_, ""));
    }
 
    // yoy cap/floor volatilities
    if (!yoyInflationCapFloorVolNames().empty()) {
        DLOG("Writing inflation cap/floor volatilities");
        XMLNode* n = XMLUtils::addChild(doc, marketNode, "YYCapFloorVolatilities");
        XMLUtils::addChild(doc, n, "Simulate", simulateYoYInflationCapFloorVols());
        XMLUtils::addChild(doc, n, "ReactionToTimeDecay", yoyInflationCapFloorVolDecayMode());
        XMLUtils::addChildren(doc, n, "Names", "Name", yoyInflationCapFloorVolNames());
 
        // Write out cap floor expiries node for each currency
        for (auto kv : yoyInflationCapFloorVolExpiries_) {
            string nodeValue = join(kv.second | transformed([](Period p) { return ore::data::to_string(p); }), ",");
            XMLNode* expiriesNode = doc.allocNode("Expiries", nodeValue);
            XMLUtils::addAttribute(doc, expiriesNode, "name", kv.first);
            XMLUtils::appendNode(n, expiriesNode);
        }
 
        // Write out cap floor strikes for each currency
        for (auto kv : yoyInflationCapFloorVolStrikes_) {
            string nodeValue = kv.second.empty()
                                   ? "ATM"
                                   : join(kv.second | transformed([](Rate s) { return ore::data::to_string(s); }), ",");
            XMLNode* strikesNode = doc.allocNode("Strikes", nodeValue);
            XMLUtils::addAttribute(doc, strikesNode, "name", kv.first);
            XMLUtils::appendNode(n, strikesNode);
        }
        for (auto it = yoyInflationCapFloorVolSmileDynamics_.begin(); it != yoyInflationCapFloorVolSmileDynamics_.end();
             it++) {
            XMLUtils::addChild(doc, n, "SmileDynamics", it->second, "key", it->first);
        }
    }
 
    // Commodity price curves
    if (!commodityNames().empty()) {
        DLOG("Writing commodity price curves");
        XMLNode* commodityPriceNode = XMLUtils::addChild(doc, marketNode, "Commodities");
        XMLUtils::addChild(doc, commodityPriceNode, "Simulate", commodityCurveSimulate());
        XMLUtils::addChildren(doc, commodityPriceNode, "Names", "Name", commodityNames());
 
        // Write out tenors node for each commodity name
        for (auto kv : commodityCurveTenors_) {
            // Single bar here is a boost range adaptor. Documented here:
            // https://www.boost.org/doc/libs/1_71_0/libs/range/doc/html/range/reference/adaptors/introduction.html
            string nodeValue = join(kv.second | transformed([](Period p) { return ore::data::to_string(p); }), ",");
            XMLNode* tenorsNode = doc.allocNode("Tenors", nodeValue);
            XMLUtils::addAttribute(doc, tenorsNode, "name", kv.first);
            XMLUtils::appendNode(commodityPriceNode, tenorsNode);
        }
    }
 
    // Commodity volatilities
    if (!commodityVolNames().empty()) {
        DLOG("Writing commodity volatilities");
        XMLNode* commodityVolatilitiesNode = XMLUtils::addChild(doc, marketNode, "CommodityVolatilities");
        XMLUtils::addChild(doc, commodityVolatilitiesNode, "Simulate", commodityVolSimulate());
        XMLUtils::addChild(doc, commodityVolatilitiesNode, "ReactionToTimeDecay", commodityVolDecayMode_);
        XMLNode* namesNode = XMLUtils::addChild(doc, commodityVolatilitiesNode, "Names");
        for (const auto& name : commodityVolNames()) {
            XMLNode* nameNode = doc.allocNode("Name");
            XMLUtils::addAttribute(doc, nameNode, "id", name);
            XMLUtils::addGenericChildAsList(doc, nameNode, "Expiries", commodityVolExpiries_.find(name)->second);
            XMLUtils::addGenericChildAsList(doc, nameNode, "Moneyness", commodityVolMoneyness_.find(name)->second);
            XMLUtils::appendNode(namesNode, nameNode);
        }
        for (auto it = commodityVolSmileDynamics_.begin(); it != commodityVolSmileDynamics_.end(); it++) {
            XMLUtils::addChild(doc, commodityVolatilitiesNode, "SmileDynamics", it->second, "key", it->first);
        }
    }
 
    // additional scenario data currencies
    if (!additionalScenarioDataCcys_.empty()) {
        DLOG("Writing aggregation scenario data currencies");
        XMLUtils::addChildren(doc, marketNode, "AggregationScenarioDataCurrencies", "Currency",
                              additionalScenarioDataCcys_);
    }
 
    // additional scenario data indices
    if (!additionalScenarioDataIndices_.empty()) {
        DLOG("Writing aggregation scenario data indices");
        XMLUtils::addChildren(doc, marketNode, "AggregationScenarioDataIndices", "Index",
                              additionalScenarioDataIndices_);
    }
 
    // Credit States
    DLOG("Writing number of credit states");
    XMLNode* creditStatesNode = XMLUtils::addChild(doc, marketNode, "CreditStates");
    XMLUtils::addChild(doc, creditStatesNode, "NumberOfFactors", int(numberOfCreditStates_));
 
    DLOG("Writing number of credit states, AggregationScenarioDataCreditStates");
    XMLNode* aggScenDataCreditStatesNode = XMLUtils::addChild(doc, marketNode, "AggregationScenarioDataCreditStates");
    XMLUtils::addChild(doc, aggScenDataCreditStatesNode, "NumberOfFactors",
                       int(additionalScenarioDataNumberOfCreditStates_));
 
    // Survival Weights
    DLOG("Writing names that need tracking of survival weights");
    if (!additionalScenarioDataSurvivalWeights_.empty()) {
        XMLUtils::addChildren(doc, marketNode, "AggregationScenarioDataSurvivalWeights", "Name",
                              additionalScenarioDataSurvivalWeights_);
    }
 
    // base correlations
    if (!baseCorrelationNames().empty()) {
        DLOG("Writing base correlations");
        XMLNode* bcNode = XMLUtils::addChild(doc, marketNode, "BaseCorrelations");
        XMLUtils::addChild(doc, bcNode, "Simulate", simulateBaseCorrelations());
        XMLUtils::addChildren(doc, bcNode, "IndexNames", "IndexName", baseCorrelationNames());
        XMLUtils::addGenericChildAsList(doc, bcNode, "Terms", baseCorrelationTerms_);
        XMLUtils::addGenericChildAsList(doc, bcNode, "DetachmentPoints", baseCorrelationDetachmentPoints_);
    }
 
    // correlations
    if (!correlationPairs().empty()) {
        DLOG("Writing correlation");
        XMLNode* correlationsNode = XMLUtils::addChild(doc, marketNode, "Correlations");
        XMLUtils::addChild(doc, correlationsNode, "Simulate", simulateCorrelations());
        XMLUtils::addChildren(doc, correlationsNode, "Pairs", "Pair", correlationPairs());
 
        XMLUtils::addGenericChildAsList(doc, correlationsNode, "Expiries", correlationExpiries_);
    }
 
    XMLUtils::appendNode(simulationNode, marketNode);
 
    return simulationNode;
}

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◆ operator==()

bool operator== ( const ScenarioSimMarketParameters & rhs )

Definition at line 653 of file scenariosimmarketparameters.cpp.

                                                                                   {
 
    if (baseCcy_ != rhs.baseCcy_ || ccys_ != rhs.ccys_ || params_ != rhs.params_ ||
        yieldCurveCurrencies_ != rhs.yieldCurveCurrencies_ || yieldCurveTenors_ != rhs.yieldCurveTenors_ ||
        swapIndices_ != rhs.swapIndices_ || interpolation_ != rhs.interpolation_ ||
        extrapolation_ != rhs.extrapolation_ || swapVolTerms_ != rhs.swapVolTerms_ ||
        swapVolIsCube_ != rhs.swapVolIsCube_ || swapVolSimulateATMOnly_ != rhs.swapVolSimulateATMOnly_ ||
        swapVolExpiries_ != rhs.swapVolExpiries_ || swapVolStrikeSpreads_ != rhs.swapVolStrikeSpreads_ ||
        swapVolDecayMode_ != rhs.swapVolDecayMode_ || capFloorVolExpiries_ != rhs.capFloorVolExpiries_ ||
        capFloorVolStrikes_ != rhs.capFloorVolStrikes_ ||
        zeroInflationCapFloorVolExpiries_ != rhs.zeroInflationCapFloorVolExpiries_ ||
        zeroInflationCapFloorVolStrikes_ != rhs.zeroInflationCapFloorVolStrikes_ ||
        zeroInflationCapFloorVolDecayMode_ != rhs.zeroInflationCapFloorVolDecayMode_ ||
        capFloorVolIsAtm_ != rhs.capFloorVolIsAtm_ || capFloorVolDecayMode_ != rhs.capFloorVolDecayMode_ ||
        defaultCurveCalendars_ != rhs.defaultCurveCalendars_ || defaultTenors_ != rhs.defaultTenors_ ||
        defaultCurveExtrapolation_ != rhs.defaultCurveExtrapolation_ || cdsVolExpiries_ != rhs.cdsVolExpiries_ ||
        cdsVolDecayMode_ != rhs.cdsVolDecayMode_ || cdsVolSimulateATMOnly_ != rhs.cdsVolSimulateATMOnly_ ||
        equityDividendTenors_ != rhs.equityDividendTenors_ || fxVolIsSurface_ != rhs.fxVolIsSurface_ ||
        fxVolExpiries_ != rhs.fxVolExpiries_ || fxVolDecayMode_ != rhs.fxVolDecayMode_ ||
        fxVolSimulateATMOnly_ != rhs.fxVolSimulateATMOnly_ || equityVolExpiries_ != rhs.equityVolExpiries_ ||
        equityVolDecayMode_ != rhs.equityVolDecayMode_ || equityVolSimulateATMOnly_ != rhs.equityVolSimulateATMOnly_ ||
        equityMoneyness_ != rhs.equityMoneyness_ || equityStandardDevs_ != rhs.equityStandardDevs_ ||
        additionalScenarioDataIndices_ != rhs.additionalScenarioDataIndices_ ||
        additionalScenarioDataCcys_ != rhs.additionalScenarioDataCcys_ ||
        additionalScenarioDataNumberOfCreditStates_ != rhs.additionalScenarioDataNumberOfCreditStates_ ||
        additionalScenarioDataSurvivalWeights_ != rhs.additionalScenarioDataSurvivalWeights_ ||
        baseCorrelationTerms_ != rhs.baseCorrelationTerms_ ||
        baseCorrelationDetachmentPoints_ != rhs.baseCorrelationDetachmentPoints_ ||
        zeroInflationTenors_ != rhs.zeroInflationTenors_ || yoyInflationTenors_ != rhs.yoyInflationTenors_ ||
        commodityCurveTenors_ != rhs.commodityCurveTenors_ || commodityVolDecayMode_ != rhs.commodityVolDecayMode_ ||
        commodityVolExpiries_ != rhs.commodityVolExpiries_ || commodityVolMoneyness_ != rhs.commodityVolMoneyness_ ||
        correlationIsSurface_ != rhs.correlationIsSurface_ || correlationExpiries_ != rhs.correlationExpiries_ ||
        correlationStrikes_ != rhs.correlationStrikes_ || cprSimulate_ != rhs.cprSimulate_ || cprs_ != rhs.cprs_ ||
        yieldVolTerms_ != rhs.yieldVolTerms_ || yieldVolExpiries_ != rhs.yieldVolExpiries_ ||
        yieldVolDecayMode_ != rhs.yieldVolDecayMode_) {
        return false;
    } else {
        return true;
    }
}

◆ operator!=()

bool operator!= ( const ScenarioSimMarketParameters & rhs )

Definition at line 694 of file scenariosimmarketparameters.cpp.

694{ return !(*this == rhs); }

◆ setDefaults()

void setDefaults ( )

private

Definition at line 106 of file scenariosimmarketparameters.cpp.

                                              {
    // Set default simulate
    setSimulateDividendYield(false);
    setSimulateSwapVols(false);
    setSimulateYieldVols(false);
    setSimulateCapFloorVols(false);
    setSimulateYoYInflationCapFloorVols(false);
    setSimulateZeroInflationCapFloorVols(false);
    setSimulateSurvivalProbabilities(false);
    setSimulateRecoveryRates(false);
    setSimulateCdsVols(false);
    setSimulateFXVols(false);
    setSimulateEquityVols(false);
    setSimulateBaseCorrelations(false);
    setCommodityCurveSimulate(false);
    setCommodityVolSimulate(false);
    setSecuritySpreadsSimulate(false);
    setSimulateFxSpots(true);
    setSimulateCorrelations(false);
 
    // set default smile dynamics
    setSwapVolSmileDynamics("", "StickyStrike");
    setYieldVolSmileDynamics("", "StickyStrike");
    setCapFloorVolSmileDynamics("", "StickyStrike");
    setYoYInflationCapFloorVolSmileDynamics("", "StickyStrike");
    setZeroInflationCapFloorVolSmileDynamics("", "StickyStrike");
    setCdsVolSmileDynamics("", "StickyStrike");
    setFxVolSmileDynamics("", "StickyStrike");
    setEquityVolSmileDynamics("", "StickyStrike");
    setCommodityVolSmileDynamics("", "StickyStrike");
 
    // Set default tenors
    defaultTenors_[""] = vector<Period>();
    equityDividendTenors_[""] = vector<Period>();
    zeroInflationTenors_[""] = vector<Period>();
    yoyInflationTenors_[""] = vector<Period>();
    // Default calendars
    defaultCurveCalendars_[""] = "TARGET";
    // Default fxVol params
    fxVolIsSurface_[""] = false;
    // Defaults for simulate atm only
    setSimulateFxVolATMOnly(false);
    setSimulateEquityVolATMOnly(false);
    simulateSwapVolATMOnly() = false;
    setSimulateCdsVolsATMOnly(false);
    // Default interpolation for yield curves
    interpolation_ = "LogLinear";
    extrapolation_ = "FlatFwd";
    defaultCurveExtrapolation_ = "FlatFwd";
}

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◆ reset()

void reset ( )

private

A method used to reset the object to its default state before fromXML is called.

Definition at line 157 of file scenariosimmarketparameters.cpp.

                                        {
    ScenarioSimMarketParameters ssmp;
    std::swap(*this, ssmp);
}

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Member Data Documentation

◆ baseCcy_

string baseCcy_

private

Definition at line 412 of file scenariosimmarketparameters.hpp.

◆ ccys_

vector<string> ccys_

private

Definition at line 413 of file scenariosimmarketparameters.hpp.

◆ yieldCurveCurrencies_

map<string, string> yieldCurveCurrencies_

private

Definition at line 414 of file scenariosimmarketparameters.hpp.

◆ yieldCurveTenors_

map<string, vector<Period> > yieldCurveTenors_

private

Definition at line 415 of file scenariosimmarketparameters.hpp.

◆ swapIndices_

map<string, string> swapIndices_

private

Definition at line 416 of file scenariosimmarketparameters.hpp.

◆ interpolation_

string interpolation_

private

Definition at line 417 of file scenariosimmarketparameters.hpp.

◆ extrapolation_

string extrapolation_

private

Definition at line 418 of file scenariosimmarketparameters.hpp.

◆ swapVolIsCube_

map<string, bool> swapVolIsCube_

private

Definition at line 420 of file scenariosimmarketparameters.hpp.

◆ swapVolSimulateATMOnly_

bool swapVolSimulateATMOnly_ = false

private

Definition at line 421 of file scenariosimmarketparameters.hpp.

◆ swapVolTerms_

map<string, vector<Period> > swapVolTerms_

private

Definition at line 422 of file scenariosimmarketparameters.hpp.

◆ swapVolExpiries_

map<string, vector<Period> > swapVolExpiries_

private

Definition at line 423 of file scenariosimmarketparameters.hpp.

◆ swapVolStrikeSpreads_

map<string, vector<Real> > swapVolStrikeSpreads_

private

Definition at line 424 of file scenariosimmarketparameters.hpp.

◆ swapVolDecayMode_

string swapVolDecayMode_

private

Definition at line 425 of file scenariosimmarketparameters.hpp.

◆ swapVolSmileDynamics_

map<string, string> swapVolSmileDynamics_

private

Definition at line 426 of file scenariosimmarketparameters.hpp.

◆ yieldVolTerms_

vector<Period> yieldVolTerms_

private

Definition at line 428 of file scenariosimmarketparameters.hpp.

◆ yieldVolExpiries_

vector<Period> yieldVolExpiries_

private

Definition at line 429 of file scenariosimmarketparameters.hpp.

◆ yieldVolDecayMode_

string yieldVolDecayMode_

private

Definition at line 430 of file scenariosimmarketparameters.hpp.

◆ yieldVolSmileDynamics_

map<string, string> yieldVolSmileDynamics_

private

Definition at line 431 of file scenariosimmarketparameters.hpp.

◆ capFloorVolExpiries_

map<string, vector<Period> > capFloorVolExpiries_

private

Definition at line 433 of file scenariosimmarketparameters.hpp.

◆ capFloorVolStrikes_

map<std::string, std::vector<QuantLib::Rate> > capFloorVolStrikes_

private

Definition at line 434 of file scenariosimmarketparameters.hpp.

◆ capFloorVolIsAtm_

map<std::string, bool> capFloorVolIsAtm_

private

Definition at line 435 of file scenariosimmarketparameters.hpp.

◆ capFloorVolDecayMode_

string capFloorVolDecayMode_

private

Definition at line 436 of file scenariosimmarketparameters.hpp.

◆ capFloorVolAdjustOptionletPillars_

bool capFloorVolAdjustOptionletPillars_

private

Definition at line 437 of file scenariosimmarketparameters.hpp.

◆ capFloorVolUseCapAtm_

bool capFloorVolUseCapAtm_

private

Definition at line 438 of file scenariosimmarketparameters.hpp.

◆ capFloorVolSmileDynamics_

map<string, string> capFloorVolSmileDynamics_

private

Definition at line 439 of file scenariosimmarketparameters.hpp.

◆ yoyInflationCapFloorVolExpiries_

map<string, vector<Period> > yoyInflationCapFloorVolExpiries_

private

Definition at line 441 of file scenariosimmarketparameters.hpp.

◆ yoyInflationCapFloorVolStrikes_

map<std::string, std::vector<QuantLib::Rate> > yoyInflationCapFloorVolStrikes_

private

Definition at line 442 of file scenariosimmarketparameters.hpp.

◆ yoyInflationCapFloorVolDecayMode_

string yoyInflationCapFloorVolDecayMode_

private

Definition at line 443 of file scenariosimmarketparameters.hpp.

◆ yoyInflationCapFloorVolSmileDynamics_

map<string, string> yoyInflationCapFloorVolSmileDynamics_

private

Definition at line 444 of file scenariosimmarketparameters.hpp.

◆ zeroInflationCapFloorVolExpiries_

map<string, vector<Period> > zeroInflationCapFloorVolExpiries_

private

Definition at line 446 of file scenariosimmarketparameters.hpp.

◆ zeroInflationCapFloorVolStrikes_

map<std::string, std::vector<QuantLib::Rate> > zeroInflationCapFloorVolStrikes_

private

Definition at line 447 of file scenariosimmarketparameters.hpp.

◆ zeroInflationCapFloorVolDecayMode_

string zeroInflationCapFloorVolDecayMode_

private

Definition at line 448 of file scenariosimmarketparameters.hpp.

◆ zeroInflationCapFloorVolSmileDynamics_

map<string, string> zeroInflationCapFloorVolSmileDynamics_

private

Definition at line 449 of file scenariosimmarketparameters.hpp.

◆ defaultCurveCalendars_

map<string, string> defaultCurveCalendars_

private

Definition at line 451 of file scenariosimmarketparameters.hpp.

◆ defaultTenors_

map<string, vector<Period> > defaultTenors_

private

Definition at line 452 of file scenariosimmarketparameters.hpp.

◆ defaultCurveExtrapolation_

string defaultCurveExtrapolation_

private

Definition at line 453 of file scenariosimmarketparameters.hpp.

◆ cdsVolSimulateATMOnly_

bool cdsVolSimulateATMOnly_ = false

private

Definition at line 455 of file scenariosimmarketparameters.hpp.

◆ cdsVolExpiries_

vector<Period> cdsVolExpiries_

private

Definition at line 456 of file scenariosimmarketparameters.hpp.

◆ cdsVolDecayMode_

string cdsVolDecayMode_

private

Definition at line 457 of file scenariosimmarketparameters.hpp.

◆ cdsVolSmileDynamics_

map<string, string> cdsVolSmileDynamics_

private

Definition at line 458 of file scenariosimmarketparameters.hpp.

◆ equityDividendTenors_

map<string, vector<Period> > equityDividendTenors_

private

Definition at line 460 of file scenariosimmarketparameters.hpp.

◆ fxVolSimulateATMOnly_

bool fxVolSimulateATMOnly_ = false

private

Definition at line 463 of file scenariosimmarketparameters.hpp.

◆ fxVolIsSurface_

map<std::string, bool> fxVolIsSurface_

private

Definition at line 464 of file scenariosimmarketparameters.hpp.

◆ fxVolExpiries_

map<string, vector<Period> > fxVolExpiries_

private

Definition at line 465 of file scenariosimmarketparameters.hpp.

◆ fxVolDecayMode_

string fxVolDecayMode_

private

Definition at line 466 of file scenariosimmarketparameters.hpp.

◆ fxMoneyness_

map<string, vector<Real> > fxMoneyness_

private

Definition at line 467 of file scenariosimmarketparameters.hpp.

◆ fxStandardDevs_

map<string, vector<Real> > fxStandardDevs_

private

Definition at line 468 of file scenariosimmarketparameters.hpp.

◆ fxVolSmileDynamics_

map<string, string> fxVolSmileDynamics_

private

Definition at line 469 of file scenariosimmarketparameters.hpp.

◆ equityVolSimulateATMOnly_

bool equityVolSimulateATMOnly_ = false

private

Definition at line 471 of file scenariosimmarketparameters.hpp.

◆ equityVolIsSurface_

map<string, bool> equityVolIsSurface_

private

Definition at line 472 of file scenariosimmarketparameters.hpp.

◆ equityVolExpiries_

map<string, vector<Period> > equityVolExpiries_

private

Definition at line 473 of file scenariosimmarketparameters.hpp.

◆ equityVolDecayMode_

string equityVolDecayMode_

private

Definition at line 474 of file scenariosimmarketparameters.hpp.

◆ equityMoneyness_

map<string, vector<Real> > equityMoneyness_

private

Definition at line 475 of file scenariosimmarketparameters.hpp.

◆ equityStandardDevs_

map<string, vector<Real> > equityStandardDevs_

private

Definition at line 476 of file scenariosimmarketparameters.hpp.

◆ equityVolSmileDynamics_

map<string, string> equityVolSmileDynamics_

private

Definition at line 477 of file scenariosimmarketparameters.hpp.

◆ additionalScenarioDataIndices_

vector<string> additionalScenarioDataIndices_

private

Definition at line 479 of file scenariosimmarketparameters.hpp.

◆ additionalScenarioDataCcys_

vector<string> additionalScenarioDataCcys_

private

Definition at line 480 of file scenariosimmarketparameters.hpp.

◆ additionalScenarioDataNumberOfCreditStates_

Size additionalScenarioDataNumberOfCreditStates_ = 0

private

Definition at line 481 of file scenariosimmarketparameters.hpp.

◆ additionalScenarioDataSurvivalWeights_

vector<string> additionalScenarioDataSurvivalWeights_

private

Definition at line 482 of file scenariosimmarketparameters.hpp.

◆ cprSimulate_

bool cprSimulate_

private

Definition at line 484 of file scenariosimmarketparameters.hpp.

◆ cprs_

vector<string> cprs_

private

Definition at line 485 of file scenariosimmarketparameters.hpp.

◆ baseCorrelationTerms_

vector<Period> baseCorrelationTerms_

private

Definition at line 487 of file scenariosimmarketparameters.hpp.

◆ baseCorrelationDetachmentPoints_

vector<Real> baseCorrelationDetachmentPoints_

private

Definition at line 488 of file scenariosimmarketparameters.hpp.

◆ zeroInflationTenors_

map<string, vector<Period> > zeroInflationTenors_

private

Definition at line 490 of file scenariosimmarketparameters.hpp.

◆ yoyInflationTenors_

map<string, vector<Period> > yoyInflationTenors_

private

Definition at line 491 of file scenariosimmarketparameters.hpp.

◆ commodityCurveTenors_

std::map<std::string, std::vector<QuantLib::Period> > commodityCurveTenors_

private

Definition at line 494 of file scenariosimmarketparameters.hpp.

◆ commodityVolDecayMode_

std::string commodityVolDecayMode_

private

Definition at line 497 of file scenariosimmarketparameters.hpp.

◆ commodityVolExpiries_

std::map<std::string, std::vector<QuantLib::Period> > commodityVolExpiries_

private

Definition at line 498 of file scenariosimmarketparameters.hpp.

◆ commodityVolMoneyness_

std::map<std::string, std::vector<QuantLib::Real> > commodityVolMoneyness_

private

Definition at line 499 of file scenariosimmarketparameters.hpp.

◆ commodityVolSmileDynamics_

map<string, string> commodityVolSmileDynamics_

private

Definition at line 500 of file scenariosimmarketparameters.hpp.

◆ correlationIsSurface_

bool correlationIsSurface_

private

Definition at line 502 of file scenariosimmarketparameters.hpp.

◆ correlationExpiries_

vector<Period> correlationExpiries_

private

Definition at line 503 of file scenariosimmarketparameters.hpp.

◆ correlationStrikes_

vector<Real> correlationStrikes_

private

Definition at line 504 of file scenariosimmarketparameters.hpp.

◆ numberOfCreditStates_

Size numberOfCreditStates_ = 0

private

Definition at line 505 of file scenariosimmarketparameters.hpp.

◆ params_

std::map<RiskFactorKey::KeyType, std::pair<bool, std::set<std::string> > > params_

private

Definition at line 509 of file scenariosimmarketparameters.hpp.

Public Member Functions

Equality Operators

Detailed Description

Constructor & Destructor Documentation

◆ ScenarioSimMarketParameters()

Member Function Documentation

◆ baseCcy() [1/2]

◆ ccys() [1/2]

◆ paramsLookup()

◆ hasParamsName()

◆ addParamsName()

◆ paramsSimulate()

◆ setParamsSimulate()

◆ discountCurveNames()

◆ yieldCurveNames()

◆ yieldCurveCurrencies() [1/2]

◆ yieldCurveTenors() [1/2]

◆ hasYieldCurveTenors()

◆ indices()

◆ swapIndices() [1/2]

◆ interpolation() [1/2]

◆ extrapolation() [1/2]

◆ yieldCurveTenors() [2/2]

◆ simulateFxSpots()

◆ fxCcyPairs()

◆ simulateSwapVols()

◆ swapVolIsCube()

◆ simulateSwapVolATMOnly() [1/2]

◆ swapVolTerms()

◆ swapVolExpiries()

◆ swapVolKeys()

◆ swapVolDecayMode() [1/2]

◆ swapVolStrikeSpreads()

◆ swapVolSmileDynamics()

◆ simulateYieldVols()

◆ yieldVolTerms() [1/2]

◆ yieldVolExpiries() [1/2]

◆ yieldVolNames()

◆ yieldVolDecayMode() [1/2]

◆ yieldVolSmileDynamics()

◆ simulateCapFloorVols()

◆ capFloorVolKeys()

◆ capFloorVolExpiries()

◆ hasCapFloorVolExpiries()

◆ capFloorVolStrikes()

◆ capFloorVolIsAtm()

◆ capFloorVolDecayMode() [1/2]

◆ capFloorVolAdjustOptionletPillars()

◆ capFloorVolUseCapAtm()

◆ capFloorVolSmileDynamics()

◆ simulateYoYInflationCapFloorVols()

◆ yoyInflationCapFloorVolNames()

◆ yoyInflationCapFloorVolExpiries()

◆ hasYoYInflationCapFloorVolExpiries()

◆ yoyInflationCapFloorVolStrikes()

◆ yoyInflationCapFloorVolDecayMode() [1/2]

◆ yoyInflationCapFloorVolSmileDynamics()

◆ simulateZeroInflationCapFloorVols()

◆ zeroInflationCapFloorVolNames()

◆ zeroInflationCapFloorVolExpiries()

◆ hasZeroInflationCapFloorVolExpiries()

◆ zeroInflationCapFloorVolStrikes()

◆ zeroInflationCapFloorVolDecayMode() [1/2]

◆ zeroInflationCapFloorVolSmileDynamics()

◆ simulateSurvivalProbabilities()

◆ simulateRecoveryRates()

◆ defaultNames()

◆ defaultCurveCalendar()

◆ defaultTenors()

◆ hasDefaultTenors()

◆ defaultCurveExtrapolation()

◆ simulateCdsVols()

◆ simulateCdsVolATMOnly()

◆ cdsVolExpiries() [1/2]

◆ cdsVolNames()

◆ cdsVolDecayMode() [1/2]

◆ cdsVolSmileDynamics()

◆ equityNames()

◆ equityDividendTenors()

◆ hasEquityDividendTenors()